How to get available classification labels with CSOM?

I have created a few compliance labels from the Office 365 Security & Compliance portal. These have been successfully published to one of my SharePoint sites and I can apply it to document from the modern library UI. My understanding from the https://dev.office.com/blogs/new-sharepoint-csom-version-released-for-Office-365-august-2017 was that it should be possible to get the available labels in a site using the GetComplianceTag methods. I have not been successful i doing this however. One approach causes a exception saying I need to enable the Site Policy feature, even though it is enabled. The other return a empty result.

Is there a working example for getting available classification tags programatically?

See code example below:

using Microsoft.SharePoint.Client;
using Microsoft.SharePoint.Client.CompliancePolicy;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Security;

namespace Policies
{
    class Program
    {
        static void Main(string[] args)
        {
            using (var clientContext = CreateClientContext())
            {
                //Returns empty
                var tags = GetAvailableTagsForSite(clientContext);

                foreach (var tag in tags)
                {
                    Console.WriteLine(tag);
                }

                // Throws "Site Policy feature not activated in site collection" even if it is activated
                var tags = GetComplianceTags(clientContext);

                foreach (var tag in tags)
                {
                    Console.WriteLine(tag);
                }
                Console.ReadLine();
            }
        }

        private static ClientContext CreateClientContext()
        {
            var password = new SecureString();
            foreach (var c in "foobar") password.AppendChar(c);
            var credentials = new SharePointOnlineCredentials("admin@contoso.onmicrosoft.com", password);

            return new ClientContext("https://contoso.sharepoint.com/sites/gdpr")
            {
                Credentials = credentials
            };
        }

        private static IEnumerable<string> GetComplianceTags(ClientContext clientContext)
        {
            var web = clientContext.Web;
            clientContext.Load(web);
            clientContext.ExecuteQuery();

            var policyStore = new SPPolicyStore(clientContext, web);
            var tags = policyStore.GetComplianceTags();
            clientContext.ExecuteQuery();

            return tags.Select(t => t.TagName);
        }

        private static IEnumerable<string> GetAvailableTagsForSite(ClientContext clientContext)
        {
            var web = clientContext.Web;
            clientContext.Load(web);
            clientContext.ExecuteQuery();

            var tags = SPPolicyStoreProxy.GetAvailableTagsForSite(clientContext, clientContext.Url);

            return tags.Select(t => t.TagName);
        }
    }
}