If you want to find files without tags, use tags is not with * (and “Kind is any document” to exclude groups etc). tags is * will select everything that has a tag. And that works.
However, in your case, you’re adding a group with a tag to the smart group. And that group, apparently, contains documents without a tag. Is that what bothers you? Then you should ensure that your smart group selects only documents proper, not groups.
If you have another issue, you might get more useful help describing it instead of simply posting screenshots – those do neither convey what you want nor why what you get isn’t what you want.