I know I can retag the post by editing it, but it's unintuitive to have a retag link on some questions and not on others. In other words, the steps one needs to follow to retag a question should be independent of whether the question is CW or not.
You're looking at it from the opposite perspective from how the system itself handles it. It's not that CW questions don't have a "retag" link, it's that non-CW questions don't have a full "edit" link.
The "retag" permission you get at 500 reputation is nothing more than an inferior sampling of the "edit" permission you get at 2000 reputation. When you gain that ability, you'll no longer have the retag link on non-CW questions, either. You'll be using "edit" to perform retags on all posts, because that's what retagging really is: editing tags.
You already earned the permission to do edits on CW questions with 100 reputation, before you even had the retag permission. Adding a retag link to CW questions would be an extraneous step backwards.