Once again, this has nothing to do with contractors but only with employees. If you live in one country but have your income taxed at source in another country it may well be that you also have obligations to fulfill (such as reporting
all your combined earnings) towards the country of residence. These obligations are your responsibility only, your employer will not do that for you, because you are not like a "normal" employee who works, lives and pays his taxes in one and the same country.