The default context menu currently does not allow to checkout a tag (you can only delete/push).
If like me, you need this option, you can simply create a file Tag.sublime-menu in you package\user directory with :
[
{ "command": "checkout_branch", "args": {"branch": "$ref"} }
]
I think it should be part of the default menu since being able to checkout a given is the reason we create tag in the first place, but this is another discussion