As I recall, @r-stein is correct. There was a period time where I used to have that as an option. When I re-wrote things, I ended up adding a highlight hook, and for tags I just highlight the name. If my memory serves me correctly, I dropped all support for the end cap highlight method for tags.
You could theoretically create your own custom tags.py bh_module and change the highlight code to do end caps instead. I think you would import the important hooks from the default tags.py module except for the highlight hook, and you could just do your own. I think that would work. You would then have to point the tag rules to your custom tag module.