Ladies and Gentleman,

I would like to inform you all that you can do this, it's just not very obvious at all, and also slightly fiddly.

Let's say you filtered 10 transactions that were already split. You want to tag 5 with one tag and the other 5 with a different tag.

Go into each split one-by one and tag the first 5. Save each time you tag. Now, copy the URL (web address) out of the browser tab you are in and paste it into a new tab. Go to that address. Filter your transactions again. The tags are there.

Now you need to repeat this for the other 5, in the same fashion. If you want to apply more than one tag, just repeat the same kind of steps in little batches.

It's a paint in the a** but it works eventually.