The answer is clear. You have two options. First, you can modify core files of Tag. This is totally not recommended, because you'll have to re-edit these files after every Tag module update... but for what you're looking to do, it's a pretty simple re-hack. You need to edit this file:
you_web_root/system/expressionengine/third_party/tag/language/english/lang.tag.php
Go to line 350, and it looks like this:
'press_enter_after_each_tags' =>
"Press [Enter] after each tag",
And edit the value of the key press_enter_after_each_tags
.
Your other option, which will probably prevent you from having to edit that file after every Tag module update, is to make an EE Accessory. This allows you to inject code on the Control Panel pages. Basically, you'd insert some code on the edit_entry pages that looks like this:
$('.tag_input').attr('placeholder', 'Whatever you wanted for a placeholder');
Here's the Accessory Development reference:
https://ellislab.com/expressionengine/user-guide/development/accessories.html