Drupal - How do I Bulk Edit Fields or Taxonomy of Nodes?

Drupal core doesn't provide this functionality, so yes, you need to implement it yourself.

Yes, you can implement your own action plugin to do this. You can also have a form to select which tag you want to apply. Have a look at the node delete action plugin, which uses a confirmation form, but you can implement whatever functionality you want in that form.

Keep in mind that Drupal core is missing another important feature for your use case. The ability to apply a bulk action to more than one page. The best you can do until there is a port of the contrib module to provide this to increase the amount of rows per page, so that you need to repeat it fewer times.

Berdir's answer is accurate, you must write your own action.

I found this article extremely useful to quickly achieve this.

Basically when you create and registering a new action you can specify a 'confirm form', eg 'Are you sure you want to do this?'. You can provide a form for this stage that accepts more information and then uses that information to perform a batch operation on the nodes/entities who's IDs have been passed through.

Note that, as Berdir stated, the action to perform a bulk operation across multiple pages is still (to my knowledge) missing.