The Help Center article Create new tags says:
When creating your new tag, bear in mind that tags ...
- must be no longer than 35 characters
- must use the character set
The percent sign is not among them, that's why it's not rendered.
Bear in mind that the same article says:
When should I create new tags?
Most common tags already exist on a mature site. You should always favor existing tags; only create new tags when you feel you can make a strong case that your question does cover a new topic that nobody else has asked about before on this site.
(something similar is stated here)
A tag that covers one single error message is generally speaking way too specific, and don't worry about users not being able to find those questions: just searching for 'more % conversions' already gives you what you need.