I would like to use the @Tag available in JUnit 5 in order to easily filter my tests.
I have found in this blog input from September 2016 that IntelliJ
Now it is possible with Intellij IDEA 2018.1, take a look at this answer for details (including screenshot).
Also, you can see Build Support with Maven in JUnit official documentation for a proper configuration of maven-surefire-plugin. The section Filtering by Tags can be especially useful to filter tests by tags.
Example (excluding all tests with the "integration" tag):
...
...
maven-surefire-plugin
2.21.0
integration
org.junit.platform
junit-platform-surefire-provider
1.2.0
...
...