I don't know if it should but the ability to import tags, hidden games, and favorites implies that GOG should acknowledge my steam tags. But GOG displays all my hidden games. Do I have to hide my games again on GOG?

It imports Steam hidden games as a "hidden" tag .
If your Steam language is other than English the name of the tag will be in your local language set in Steam.

But there isn't any tag in filter options. There is only a "no filter" checkbox.

1. First make sure that the Steam integration plugin status is 'Connected' by looking at it in the Galaxy integrations settings menu. (For some reason it can be offline, crashed, stuck at reconnecting, etc. or not connected at all, even if you successfully connected before.)

2. Launch Steam and leave it running.

3. In Galaxy click on "Sync integrations" from the cogwheel menu and wait about 5 minutes for the data to populate.

4. Go to Galaxy setting - > Features - > Steam section - > Metadata, and click 'Import' button.

5. Depending on your Steam library game count it can take up to 15 minutes to populate the data.