Right now I'm setting both, and for example one goes into context.custom.my_cool_context_key while the other is in context.tag.my_cool_context_key. Otherwise they appear the same.
When should I use one over the other? Are there things that one can do that the other can not?
great question! The main difference is that tags are indexed in Elasticsearch, while custom context is only stored, but not indexed. This means that you can filter and aggregate based on tags, but not on fields in your custom context.
However, custom context allows you to store more complex objects, while tags are only for key/value pairs of strings.
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