The plaque just states that the dunmer that fled when the volcano erupted they would receive free housing. Dosent say where.
As far as them choosen part, I take it from that book. Seeing how windhelm is the ancient capital that used to wage war against the dunmers so I see it as them choosing it to be like a slap in the face of the nords. Also seeing how the dunmer are a proud race also and view themselves to be superior just like every other race in tamriel, its very likely its true that they chose to seperate themselves from the other citizens just like how it was done in morrowind.
So no, they chose windhelm to as a joke to themselves and chose to seperate themselves.
But I have yet seen any evidence that they pay taxes. I see them selling and the ones that do are in good standings with everyone, but have yet to see anything of taxes. Also just to put it out there, if the bosmer and the altmer pay taxes, the dunmer are still excempt, not all elves only the dunmer.
I haven't seen anything about anyone paying taxes, other than letters of inheritance.
Also, I'm pretty sure the Dunmer say the reason they took up residence in Windhelm is its proximity to Morrowind. They already had to flee their homes and travel for miles just to reach Skyrim. They wanted to attempt a return to normalcy as soon as possible, and the quickest way to do that would be to start rebuilding in Windhelm. It's not out of any signs of maliciousness, they just want to stop being homeless.