It's been a while since I did this, and I don't have Zen to hand, but I managed to figure it out from the quickstart guide.
Here's the relevant bit:
You can modify a preset tags by ctrl-clicking on any tag in the lists (except for the plugin tags, for obvious reasons). Presets displayed with a dot next to them are considered untagged, and stay so until a tag from the "instruments" category is assigned to them.
Zen remembers the tags you have applied to presets, and automatically publishes them to the server when you turn Zen online.
If I remember correctly, this means you basically load a preset and then Ctrl+click on the tags (lead or whatver) you want to assign to the preset.
I tried ctl-clicking on the preset name, expecting it to do something.
I also tried dragging the preset across to the presets category, hoping it would ask me which category I wanted to put it in.
But I didn't realise that all I needed to do was highlight the preset and ctl-click the category to place it in.
Anyway, thanks heaps... crisis averted.
My main tools: Alchemy, Iris, Kontakt, Omnisphere, Padshop Pro, SWAM and WIVI.