I'm sorry, but I don't understand the response. I'll attach a screenshot. I've attached a tag called "Sample tag" to the annotation "Line 3 of a sample document". The only way I could do this was by dragging the annotation over "Sample tag" in the list of tags. The Tag icon is greyed out when you are looking at an annotation. As you can see from the screenshot, the Tag icon is greyed out here, so I can't remove the annotation by just showing the list of tags on this annotation and then deleting it.

I'm not sure what you mean by "look at the annotation in the reader". The annotation is to a PDF document. If I double-click on the annotation, it just opens the PDF document. I'm afraid I also don't know what "left-hand annotation bar" refers to.

Here's the screenshot:
https://s3.amazonaws.com/zotero.org/images/forums/u968689/j4gy4gv9ljnihjaq0tsf.png

(You'll be able to edit annotations from the item pane in the library tab in a future version. For now you have to do it in the reader sidebar.)

I you click on "sample tag", you should see a pop-up showing 1 tag. Click on the "-" sign on the right.
Edit: I missed the "lock symbol" in the annotation. See RamonMi reply below mine.

Thanks. Problem solved.

I don't know what the lock is all about. Is it because I created the annotation in Adobe Acrobat? I then clicked "Add Note from Annotations", and then added a tag to one of the annotations.

I couldn't do anything when viewing the PDF via Adobe Acrobat, but eventually figured out how to view it with the Zotero PDF Reader (Edit --> Settings --> General --> Reader).

Am i right in thinking that I wouldn't have to go through this complicated process of importing annotations (it made the tag in my sample annotation disappear) if I always read and annotate PDFs using the Zotero PDF Reader instead of Adobe Acrobat? This is the first time I've ever run across it making a difference.

So "yes" to your last question.