How to get available classification labels with CSOM?

It appears that you must ExecuteQuery even though the ComplianceTag class is not a ClientObject. The SPPolicyStore in the OP still fails. It is not clear to me what the differences is between SPPolicyStore and SPPolicyStoreProxy.

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

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

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