ELI5: Why does each State in the US and each Province in Canada have their own sales tax?

The amount of sales tax in each state/province is different, which is why ads say "plus tax", allowing them to be broadcast nationwide.
But why is the tax different in each of these, rather than the same throughout the country?

In the UK, everywhere has 20% sales tax (apart from certain things like alcohol, tobacco, etc, I believe). Wales doesn't pay a different amount of tax compared to England, so why do States pay different taxes when they're also part of the same government?