FQL solution
There are 2 possible reasons for the issue I can think of, without access to the actual data:
First reason: You need to add permissions. Specifically:
friends_photo_video_tags
user_photo_video_tags
You may also need permissions for the objects that are tagged inside posts. The "read stream" permission grants access to a wall post's tags but it is not clear from the documentation if it grants access to the tags of the object a post holds as a field, e.g. the tags in a photo in a post.
The following objects can have tags, in addition to the Post object:
Checkins. Permissions needed:
user_checkins
friends_checkins
Photo. Permissions needed:
user_photos
friends_photos
Video. Permissions needed
user_videos
friends_videos
Second reason: You are experiencing a bug/inconsistency in the stream_tag table. There are inconsistencies with this table reported in the Facebook developer pages, based on tests run by developers. These include:
For two status updates from the same user with tagged users, the stream_tag table returns tagging information correctly for one update but returns no information for the second.
The stream_tag table doesn't include tags from notes and link comments.
Here is a FBDevWiki summary of reported issues with the stream_tag table, under the heading "Notes/Bugs/Gotchas".
Graph API solution
If adding the above permissions don't help with the FQL query, you can instead call the Graph API 'tagged' connection like so:
https://graph.facebook.com/USER_ID/tagged
which returns tags in posts, photos and videos for the user.