Hi Pam,
Thanks so much for reaching out!
You are correct, this is expected behavior with the way that things are set up.
This is because Event Categories is a custom taxonomy (and therefore we provide a view for it), but the Tags you can assign to Events are shared across both Posts (regular blog posts) and Events (the tribe_events custom post type).
Therefore, whatever your active theme or child theme uses for its tag.php template file is what will be used.
You can learn more at https://developer.wordpress.org/themes/basics/template-hierarchy/#visual-overview
But, as an alternative, I would recommend trying to change the setting under Events -> Settings -> Display (specifically the Events template setting)
https://theeventscalendar.com/knowledgebase/stylesheets-and-page-templates/
You can also vote on this idea in our Feature Requests, as we tend to implement ideas based on customer feedback, so your input is greatly appreciated:
https://tribe.uservoice.com/forums/195723-feature-ideas/suggestions/12270432-event-tags-not-to-mix-with-post-tags-please
Let me know if you have any other questions on this topic!
Thanks,
Jaime