The subject of exactly how tagging interacts with adding and removing files is somewhat obscure; for the most part cvsnt will keep track of whether files exist or not without too much fussing. By default, tags are applied to only files which have a revision corresponding to what is being tagged. Files which did not exist yet, or which were already removed, simply omit the tag, and cvsnt knows to treat the absence of a tag as meaning that the file didn't exist as of that tag.
However, this can lose a small amount of information. For example, suppose a file was added and then removed. Then, if the tag is missing for that file, there is no way to know whether the tag refers to the time before the file was added, or the time after it was removed. If you specify the -r option to cvs rtag, then cvsnt tags the files which have been removed, and thereby avoids this problem. For example, one might specify -r HEAD to tag the head.