You cannot tag web requests like you do with services, processes or hosts. However, you can create a new web request naming rule to group requests by certain naming standards. This also supports regular expressions for matching certain parts of a URL path.
The two attachments show where to find "Change Web Request Naming Rules". This is found by going to the services summary page, then "View Requests", then near the bottom of the page. The second screenshot shows some of the options available when create a naming rule.
Hope this helps!