"... the first tag should be in discretion of the user.".
It is, you are free to remove any tag (except red tags), and a minimum of one tag is necessary, here at MSE there are mandatory tags which must be included first, but they can be chosen by the author too.
The writer of the question initially decides on the title, afterwards tags are automatically suggested and added tags are ordered by popularity. Where there are mandatory tags they are first, but those are still chosen by the editor.
The algorithm behind chosing tags automatically requires over 20K questions in order to provide good results.
There is required to be a sufficient number of questions and for their to be a match before a tag is suggested.
The best tag may not always be suggested but the author (and subsequent editors) are free to remove incorrect tags and manually replace them with better choices.
"... I think the tag
measure-theory is more relevant ... so it should be the first tag and the tag in title. But that is not possible.
The asker of the question and subsequent editors decide on the title and tags, persons with enough reputation can create new tags
Why is that? Is there special evidence that the popularity metric works; or it is just as-is from the beginning and no one wants to change that?
The algorithm needs enough example questions to provide the best results, it's not so much a "popularity metric" as it is a requirement to have sufficient examples.
A site needs to have enough questions to have a sufficient number of eligible tags. On the Math.SE site, with the 2nd most number of questions, 1,538,785 / 20K = 77 tags, there's an approximately 1/4000 chance of having an eligible tag; assuming that on average you chose a popular tag.
The ordering of tags and requests to be able to set the order has been thoroughly discussed on Stack Overflow's meta:
With a 1 in 4000 chance of the tag being eligible on the second place site the usefulness of changing this question to a feature request (as has been suggested by two people) remains in doubt and leaves this question mainly applicable to only one site.