This is Rae from the Shopify team. I appreciate you posting this question.
It's possible the tags that you've already removed are cached on your browser, which is causing them to still appear in the 'Filter by' list. To check if this is the case, please clear your browser cache, and then try visiting your storefront again to see if you're still able to filter by those tags. Using Chrome Incognito mode to view your site is also a great way to verify this.
However, if the tags are still appearing, it's worth double checking your products to ensure the tags were removed correctly. You can do this by following these steps:
Then, I recommend clearing your browser cache again, and visiting your storefront to check if these tags are still appearing in your 'Filter by' list. If they are, please let me know so I can help look into this further.