It has nothing to do with the immigration application. Every person who lives in Canada more than 182 days in a year must submit a tax return form by law to Revenue Canada, to provide your detail information on tax. You fill the form and can calcuate how much tax you have to pay or how much you can get refund. Revenue Canada will verify the form and take the tax you pay or refund you money -- depends on each person's situation.
No matter how much you earned, everybody must submit the tax return form. If you fails that, you may get negative impact on you immigration application.