No, they do have them and use them. As a Silver member they have always used the yellow tags when I've travelled in Economy Delight or Premium. With Premium, they have used both the yellow and premium tag. In December I got lucky, as they included a third tag which said 'Hot Transfer' or something similar as I had a short-connection time on arrival into ATL. They did have a different variant of the yellow priority tag even before officially joining SkyTeam as on flights operated by DL and VS we did get priority baggage.