Apologies for the delay in getting back to you here, @Alexander_Bashlaev.
I’ve discussed the behavior you’re reporting with our team and they’ve confirmed that, currently, this is expected. Tags only work with content that is in your library — This is why you can only add Tags to the albums, artists, and tracks that are in your library.
Playlists are a bit different — Playlists can contain content both in your library and outside of your library. When added to a tag, anything in the playlist that is in your library will be played in the tag, but content not in your library will not play.
If you’d like to see this changed, I’d recommend opening a #roon:feature-requests on this subject. You have our apologies for the inconvenience!