OneWorld,
Rarely is there such a thing as a 'tax free' salary. Whilst tax etc. may not be deducted from a contractors salary at source the individual is responsible for their own tax returns in the country in which they are domicile, this is the same for every self-employed individual, not just a pilot.
I know personally of many such pilots who, with the aid of an accountant, save all their receipts ad submit their tax returns. Should the individual choose not to do so then that is between him and taxman but now we are drifting away from the previous topics and that was, to the effect, that agencies 'take' from an individuals salary and contractors are paid more.