Email support is for questions you've asked, not for favorites or for tagged questions.
There are 2 notifications options:
"I'd like email notifications of activity on questions I've asked" - only on a question you asked and there's a checkbox on the actual question when you submit or edit it. This is the only option that will email you when activity occurs.
"I don't want notifications of activity on questions I've favorited" - this is referring to notifications via the envelope next to your username at the top of the site. If you've marked a question as a favorite by clicking on the star you will be notified when new activity on that question occurs. I.e., the envelope will be active (orange on SO).
Getting notified of every single new question with a tag you're interested in doesn't sound practical. If you're interested in a particular tag then visit the site, click on the tag and you'll see all the questions with that tag. You can click on the "Newest" tab to see the latest questions.