Actually the new tax system with high enough S&D (prosperity upgrades, anyone? If that isn't enough I guess chadz might wanna consider just plain increasing S&D gains.) and high enough taxation might be quite profitable.
If you have say, 20% tax on both selling and buying fief and goods are bought at 5 gold and sold at 25 with 300% boost, ie 100g, both the seller and the buyer are basically getting 20 gold per good for doing absolutely nothing. While losing 40% of your income in tax is pretty nasty, the trader is still getting 55 gold per good for his trade route, which isn't bad in my opinion. I don't have a fief at the moment so I can't check how much raising the tax to 20% or so costs, but probably a shitton, sadly.
The reason borders are closed is that currently money is made by trade as opposed by fiefs. Considering that there's no surprise borders are closed. If allowing trade in fiefs gave you about the same amount of money - maybe a little less or a little more - without requiring you to do anything for it it'd probably be totally worth opening borders. Also if there was enough S&D it'd potentially allow double profits for fief owners: trade AND taxation.