It might seem weird that Joker would "retire" after becoming rich but consider that Joker's personality involves two major traits: unpredictability and obsession (with Batman). By becoming an Upper-Class Twit, he's taking on an unusual and amusing role and simultaneously driving the Dark Knight batty, ensuring that he'll have his complete attention for a while. When he gets bored, he can always do something nastier with his funds. Triple win for him!
Why would the Joker take being arrested for tax evasion so seriously when he's done stuff that's easily way worse? Unlike his usual crimes, tax evasion isn't a crime the insanity plea can work on. note Though, realistically, absolutely none of Joker's crimes are eligible for an insanity plea. If the Joker were to get charged with tax evasion, he won't be sent to his usual jailhouse of Arkham Asylum, since Arkham is technically a mental hospital and not a (traditional) prison, but to a (much more secure) federal prison instead.
Another thing, even if Joker told the truth, he probably would still owe the IRS some inheritance tax. Not as much as before, but considering he'd already blown the 10 million he legitimately had, he's still screwed.
While the Joker going to prison for tax evasion seems absurd, it's not without precedent — Al Capone, one of the most famous and powerful gangsters in pop culture, was eventually arrested on tax evasion, and not the numerous other crimes he was surely guilty of. The Joker knows that if someone like Capone could be brought down by something seemingly so petty, he could be as well, even if the Joker is insane.
Joker and Harley's post-"World's Finest" financial situation having hit rock bottom also makes complete sense. As established during the crossover, Batman had already shut down all of his Gotham City operations, leaving the Clown desperate for cash. He and Harley must have sunk everything they had left into the Metropolis operation and were counting on the $1 Billion payout from Luthor to recoup the costs (and bolster their fortunes). They of course forfeited the payday after everything went to hell, leaving them in the dire straits they're in come this episode a month later.
There's also the implications with Joker's well-deserved Bad Boss reputation that getting anyone to work for him is getting expensive.
How did Harley disguise herself as a police officer and sneak into an armored van to deliver her Laser-Guided Karma beatdown to the Joker that ends the episode? There's one particularly interesting possibility—the cops themselves helped her. They may have found her trying to get in, realized what was going on, and conveniently "forgot" to stop her—after all,theycan't beat up a prisoner, but another criminal disguised as an officer can!
Just for fun, this is how much Joker owed the IRS in inheritance tax:
