How to delete a tracker tag containing special characters

Backslash escapes are supported in the context of the shell's printf and echo (with the -e option) builtins, but to force them to be expanded in a plain string argument you'd need to use ANSI quoting. From man bash:

   Words of the form $'string' are treated specially.  The word expands to
   string,  with backslash-escaped characters replaced as specified by the
   ANSI C standard.

It's a little complicated in your case because there's a single quote (apostrophe) in the tag string, but the following should work:

tracker tag -d $'setup# connections# features# upgrading# troubleshooting# recovery# specifications\r\n#esuprt_desktop#esuprt_alienware_dsk#Alienware Aurora#alienware-aurora#Owner'\''s Manual'

Alternatively, you can compose the CR character using keyboard sequence Ctrl+V Enter (it will display as ^M but actually be only a single character). Don't forget to follow it with another Enter for the LF.