Yeah he lied to you. Or he’s repeating where someone lied to him. They can demand it, but unless they are a sworn ATF TFO or SA, or an IRS SA, they have no legal authority to force you to produce it under 26 USC. It is privileged tax information. State law can’t supersede USC and grant them special powers not allowed in USC.

Also, the above authorities can’t snoop or fish as to what tax stamps you hold without probable cause of a USC criminal offense with a nexus to tax violations. That is also spelled out in 26 USC.