According to Shog9, the following is the complete list of sites (as of the time of writing) where non-ASCII word characters are allowed in tags:
Chinese Language, French Language, Japanese Language, Korean Language, French Language, Portuguese Language, Spanish Language, Русский язык, Stack Overflow em Português, スタック・オーバーフロー, Stack Overflow на русском, Stack Overflow en español, and the associated meta sites.
This is a per site setting. The wider character set is enabled only when a site actually needs them, probably to reduce the number of tags that mean the same thing but are spelled differently.
The page describing the "create tags" privilege is the same for all sites except localized ones. As a result, in most cases it does not mention the expanded character set. (Presumably, users of those sites are aware of what tags can look like because they see existing tags.)
The non-word characters are still restricted everywhere as indicated in the Help Center. Trying to use them in a tag name will result in the character being ignored (unless it's
|, in which case you'll end up with two tags because | is the tag name delimiter).