Can tag non-existing room

This issue has been migrated from [#7638](https://github.com/matrix-org/synapse/issues/7638).

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### Description
If you try to add a tag to a room that doesn't exist, synapse will happily do it and return a 200 status code.

### Steps to reproduce

- Make a Put request to `/_matrix/client/r0/user/{yourUserId}/rooms/undefined/tags/{tag}` with any json body

I would expect a 404 or similar error if you try to add a tag that doesn't exist.
### Version information

- **Homeserver**: Locally hosted

If not matrix.org:

- **Version**: 1.8.0, a quick inspection of develop makes it seems like it's still a problem

- **Install method**: git clone

- **Platform**: Centos 7