There's a distinction to be made. Do you have tax havens in the structure between the investors and the underlying business that you are invested in? Then, separately, is the underlying business a multinational enterprise that is using tax havens in its operations?
Some of the European DFIs I have spoken to are starting to take a more proactive stance toward the behaviour of the underlying businesses and whether they're using tax havens to shift profits. This means you have to invest in somebody with tax expertise who is capable of looking at a tax structure and deciding that they don't like it even though it's legal. That's quite a grey area. Not every DFI does it. I'm aware of the fact that one or two European DFIs have now taken it upon themselves to go beyond this. “Is it legal?” isn't good enough for them. That's something you could think about asking your DFI to do also.