Please provide the present Version Number and type of License of OneNote as indicated in OneNote> About OneNote in the OneNote menu bar.
Also indicate the present Version Number of macOS installed on your Mac as shown in **> About This Mac**.
An description of what occurs when you try may be helpful in determining the cause & cure.
Although there have been a couple of similar reports it doesn't appear to be a flaw in the program. I'm running OneNote 16.106.1 on Sequoia 15,7.4 with no problem creating or deleting Custom Tags.
Also note that is a peer-to-peer support Community which is hosted by Microsoft but not monitored by Microsoft personnel. In order to report suspected bugs, feature requests or suggestions use Help> Feedback in the menu bar of the respective program. Feedback goes directly to the appropriate development group for evaluation but there rarely is any personal reply.
NOTE that the Create Custom Tag command will not appear in the dropdown palette unless Connected Experiences are enabled.