Sort Order is seen in other pages on MOBLE CMS. It allows you to prioritise your tags in the order of which you would like them to appear in Widgets.
The 'Tags Sort Order' is different. It is only used in certain special cases when your website widget might need to serve groups of Tags, rather than serving groups on content (i.e. groups of Pages or Files).
Your website might have the following Tags 'Apples', 'Red', 'Green', 'Beef', 'Sirloin', 'Rib Eye'.
You could then potentially create groups of tags for 'Fruit' and 'Meat'.
In this scenario, you could have a widget that serves these groups of tags (i.e. 'Fruit' and 'Meat').
You would use the Sort Order to decide if 'Fruit' or 'Meat' would be first in your widget.