>>As far as I know if I buy a share at a given price, that is what I pay and there are no tax implications at that point in time?<<

Basically, the concept of "flow through" shares is that KXL's losses flow through to the buyer- and you can deduct their losses on your taxes. KXL doesn't need the deductions since they are not making a profit. So essentially they sell those deductions as part of the share. So they can charge higher than market for the share, and the buyer ends up paying less than market once he uses the deductions.