Supported mailbox folder's for Retention tags.

 

Below is the list of default folders in the mailbox on which Retention tags can be applied.

Support for Calendar and Tasks folder is added after Exchange 2010 SP2 RU4

Calendar and Tasks Retention Tag Support in Exchange 2010 SP2 RU4
https://blogs.technet.com/b/exchange/archive/2012/08/14/calendar-and-tasks-retention-tag-support-in-exchange-2010-sp2-ru4.aspx

Note : In Exchange 2010 & Exchange 2013 ,Inorder to create a Retention tag for Tasks folder, you need to use the Exchange shell, Exchange Management Console or Exchange Admin Center doesn't give you an option to create a tag for Tasks folder.

-Vikas