Yes, our investment properties are in Australia and each year we still lodge a tax return on the income/loss on these investments. But all are making a loss :-) Totally above board.
We are West Australian and the property market there has just skyrocketed over the last few years, thus we are very happy chappies. We have made excellent capital growth.
We had a self managed super fund at one stage, but had to terminate it all as we were non-residents of Australia for more than 2 years (which our accountant hadn't advised us about when he suggested we set one up ... but that's another story) however we still weren't allowed to take the money and had to roll it over in to some other super fund. That's what annoys me now about Super ... you don't have control over those funds, you are binded by what the Government dictates. Basically it's the governments money. Rant .. rant... rant...