First, you can't centrally do anything if someone sets a tag. Mercurial is decentralized, so unless all your developers install a hook for this on their machines, you can't initiate anything from their local actions.
On the other hand, what you could is install a hook on a server they push to, that pushes a revision to some other client or server iff the .hgtags file has changed in the latest revision (and you could inspect exactly how it has changed from the hook code).