Amazon, etc. collect sales tax because if they can't show that the individual paid the tax, the state can collect it from them. The state can't audit you for payment (yet) but guess who they can audit, charge, and probably add a fine.

FFLs tend to do FFL to FFL because of stolen property. How do you prove that you were not knowingly receiving stolen property as a fence, especially to a often hostile organization? Particularly for people who are extremely careless in who they deal with and/or you don't really know or know at all.

'How the FFL is supposed to do it'? Why would companies or people take risks like this for you? Why do you expect it?
I am more surprised that you can find anyone, other then family or friends who will do it. And it is only going to get worse.