For some reason I can't seem to get System Preferences to assign a keyboard shortcut for that, so I tried Keyboard Maestro, but the "Tags…" entry does not even exist:
Not only that, but I'm confused by why there are 3 "Eject" options and 2 "Compress" options in Keyboard Maestro.
Normally I would expect that Finder would have some hidden alternates that are revealed if you hold down the ⌥ key, but these seem to be identical, and I'm wondering if they do different things, and if so, how are we supposed to differentiate between them.
Weird: I had a keyboard shortcut assigned to Tags … for years in the system preferences, that stopped working today (macOS 10.14.6) I also can't access it using Keyboard Maestro 9.0.1. The duplicate KM entries disappeared after a reboot. I installed the supplemental Mojave update yesterday.
It has something to do with the way the color "label" favorites are displayed in the menu. For me it started when I installed Mojave. The workaround is to delete all of your "favorite" tags in Finder preferences (just the ones in the area at the bottom of the Tags pane in Finder prefs). Then setting a keyboard shortcut in the Keyboard system prefpane should work again. At least, it did for me.