Yes, The Events Calendar does use a custom taxonomy (Event Categories) and the built-in Post Tags taxonomy. Therefore, when you visit the Post Tags taxonomy on your site, the Events assigned to that tag are showing up.
You could create a custom taxonomy (like Event Tags) if both tags (non-hierarchical) and categories (hierarchical) classifications are required.
Or you could leverage the pre_get_posts hook (additional reference) to exclude posts of the tribe_events post type.
I hope one of these solutions will work well for you.