Noticed that if I unfollowed a show that I has been tagged when I was following it will not be removed from the watchlist after I unfollow. I had to follow the show again so I could remove the tag to remove it from the watchlist.
The first part is intentional: unfollowing a show does not remove your tags.
The second part is a known issue - tag management is in need of some improvements! If you're eager for this, please vote for it here: http://www.tvmaze.com/forums/6/pending-features :)