Majestic SEO Tool has finally added your request. Now you can assign tags to keywords in the Rank Tracking tool. To assign a tag, you need to go to the queries tab. There you can find “Add Tag” button. Create a new tag and assign to the queries. After assigning a tag to a selected keyword, that tag now subsequently appears in your report for that website. To delete a tag just go to the “Add Tags” and simply click on Cross button.

You can get the full guide on tags here.