sounds fishy. If there were no property taxes assessed then they can't just charge you for them.
First off, verify through your county/city that indeed no taxes or special assessments have been issued. Also, see if you can obtain a copy of the exempt status.
Then call up customer service with the new lender and speak to the escrow department and let them know. They should be able to adjust things on their end. If a customer service rep can't correct things, then ask for their manager.
Hope this helps and its an easy fix!