When the playmode is on “play current tag” the right arrow click at the right edge of the tag should bring you to the start of the tag so you can preview the image sequence infinitely by pressing right arrow repeatedly. (This is how animation workflow usually worked when we were limited to one animation per file. The last frame takes you back to the first one which is the greatest feature of Aseprite) Now it will just exit the tag and move forward in timeline.
Note: If you could choose tags like I propose here: Further improving the Tag Group Functionality: Choosing and exporting multiple tag groups the right arrow click would move me to another chosen tag group and by not having any of them active it would move as normally (chronologically) without caring about the tags.