The comment is wrong: "Mailchimp integration will only display the Tags option if you’ve already added Tags under your Mailchimp list/audience settings. Click here for more details." The Dynamic Tags seem to create tags on the fly. The Static Tags require (I think) to be first added to the Mailchimp.
Thanks for pointing that out to us. I have sent your suggestion to our team. If the article about Mailchimp needs to be updated, they will take care of it.