<p>I'm pretty sure this is intentional. The Excerpt shows up as a hover-box and the tag-style would be out of place in that box. The body of the tag-wiki can certainly use it though.</p>

<p>After some research, this has been brought up on M.SO before. Specifically:</p>

<p><a href="http://meta.stackexchange.com/questions/138023/tag-links-in-tag-excerpts-not-shown-properly">Tag links in tag excerpts not shown properly</a></p>