Well, strictly speaking you can retire from the military after 20 years, assuming you pass the exams, so to speak (trials by fire.) Most of 'em seem to stay on, though.Tau Fire-Caste is not even free to imagine a world where he is anything other than a fire-caste warrior.
But you're still kind of missing the point. The castes are not political entities, but biological ones. Even if the Tau had a completely open, free-competition labour-market, I'm betting that, like, 95% of fire caste-ers would wind up serving in the military. Similarly, the average imperial citizen may have the delusion of being able to escape his/her lot, but the statistical odds of him/her making it are almost negligible.
Here is the Imperium's character-generation method: Roll 3d6 for your attributes, then roll to see if you get put down as a mutant freak, then roll to see if you get drafted as cannon-fodder, and then roll to see if you were born to a family rich enough to educate you, and then, maybe, if you rolled high enough stats, you have a shot at promotion to something other than intensive offal-farming.
Sure, every so often you get a Universal Man with 15+ in every attribute, who can do whatever they want with their life, but it's not something you can rely on. (Unless you just clone 'em directly, and even that can go hilariously wrong.) And what about about the poor sods who roll 6-or-less across the board?
The Tau method is basically close to a roll-and-keep system on behalf of your kids. And unless the tau are purpose-breeding hundreds of separate sub-castes, there seems to be a lot of variety in the kind of work available even within a given caste's traditional purview, along with reasonable opportunities for promotion. It could be some kind of micromanagerial fascist apartheid, but I get the impression that the lines between caste responsibilities are often blurry. (Air and fire both serve in the military, earth and water both do science research, water and ethereal both serve in government, etc.)
Hell, for all we know, air caste-ers go scuba-diving on weekends.