You can set your tag base differently in the admin area: Settings > Permalinks then at the bottom there is a field for “Tag Base”. Enter “celebrities” in that field and your tag pages will be yoursite.com/celebrities/some-celeb-name.
As far as why that is, it’s because the write rules — register_taxonomy does more than just assign labels — haven’t been changed in your example above. Also, tags are special: WordPress gives you the option to change the base. So whatever the user puts in that field is going to override what you change the rewrite to be.