First some general news - since there was a MAJOR court case decided recently.
South Dakota v. Wayfair, Inc.which was recently settled by the US Supreme Court which basically overturned
Quill Corp. v. North Dakota.
These are 2 landmark cases that basically defined our sales tax laws. Quill v. North Dakota ruled that essentially one must have a "physical presence" in order to be accountable for collecting sales tax.
South Dakota passed a sales tax law in 2016 that was completely illegal based on Quill - but they did it knowing so just on the hinge that it might be appealed and brought to the Supreme court. As you can tell, they succeeded. The basis of the law was that instead of basing collection of tax on "physical presence" - which has been debated and had legal issues over the last 20+ years - they instead simply stated that if you have a net revenue of $100,000 (or more) in the state OR if you have 200 (or more) transactions in the state then you would be liable to collect sales tax for that area.
Plenty of states quickly followed suite and passed similar laws.
By the way, there is no doubt that this severely fucks over the little guys that sell via e-commerce. They don't have anywhere near enough money to be able to handle the compliance work of reporting to a bunch of new jurisdictions.
Now then - Just getting that out of the way - In general you can expect to see sales tax on eCommerce purchases a lot more often in the next couple of years.
OPs Situation:
As far as if Massachusetts tax should be charged on your order - If indeed the ACTUAL ADDRESS that you told them to deliver to was an international address, I don't see why they should be charging MA sales tax. I would call them up and ask for an explanation.
There are exceptions to this rule - because really what determines the state that sales tax is due is typically determined by where the "title" of the item is "transferred" to the buyer. So for example, if you buy an item and that item gets delivered to a 3rd party delivery service in LA (that you hired) - that is where it's taxed. Even if said 3rd party takes it to FL or something afterwards.
Misunderstood OP - see edit at bottom.
For more knowledge If you care:
https://www.avalara.com/trustfile/en/guides/state/massachusetts/sales-tax.html
Also as far as MA law
EDIT: I think I misunderstood - OP isn't having this shipped internationally - it's just shipped FROM an international location. In this case, Newegg was likely in the right to collect.