I'm afraid when using Multi-Edit to add tags, existing tags will not be kept, because there is no filtering beforehand for already exiting tags the selected sensors may have in common. There is no workaround in Multi-Edit to prevent this.
You can add tags to multiple sensors using multi-edit basically in every view that displays several sensors, whether it's the sensors shown on a current device or a particular sensor listing like "Sensors | By Type | ....." from the menu. Keep in mind however, that this will eventually remove already existing tags for example when the sensors already have tags added to them and you want to add just one more as mentioned before.
Disclaimer: The information in the Paessler Knowledge Base comes without warranty of any kind. Use at your own risk. Before applying any instructions please exercise proper system administrator housekeeping. You must make sure that a proper backup of all your data is available.