It's quite a tricky problem; whether or not a page is "paywalled" is not always black and white. Many sites allow X page views before the paywall appears, so visitors will have different experiences depending on whether they've interacted with the site previously. Some sites offer "gift links" that bypass the paywall, but not necessarily forever and always. Sometimes paywalls are regional based on IP address. Some sites only paywall certain stories, so if you're a subscriber to that site it's not clear whether the story you wish to link is behind a paywall for others.

With all of these qualifiers, a "paywall" tag would usually just mean "paywalled for some," and the only way to find out whether it's paywalled for you is to risk wasting that click. So it would not substantially improve the situation.