I’ve actually found a way around this guys
The {if no_results} conditional actually works for Tag:Tags, it’s just thatit collides with the Weblog:Entries loop, and appears not to work.
You can simply avoid this by doing either of these:
1) If on a Single Entry Template, place the Tag:Tags loop outside of the Weblog Entries loop
OR (and this would be a case where if you wanted the Tags showing up in a list of Weblog Entries, where the Tag:Tags loop would need to be placed in the Weblog:Entries loop)
2) Use an embed:
Main template:
{exp:weblog:entries}
<h1>{title}</h1>
<p>{body}</p>
{embed="path_to/tags_embed" entryid="{entry_id}"}
{/exp:weblog:entries}
Embedded Template:
{exp:tag:tags entry_id="{embed:entryid}" type="weblog" orderby="clicks" sort="desc" limit="5"}
{if no_results}<p>Not Tagged</p>{/if}
{/exp:tag:tags}