Hi Andre,
I had a minute to look and as far as I can tell this depends on your taxonomy and whether or not it has a default term defined when registering the taxonomy.
In the below screen shot the post categories have the default “Uncategorized” term so there is no “No Category” option.
However, in the screenshot tags do not have a default term, so there is a “No tag” option.
View post on imgur.com
So to me, it appears to be functioning correctly and on par with the post editor:
View post on imgur.com
I would check your taxonomy’s registration and see if there is a default term. That’s the term you should select when you don’t want to select another.