When I run into trouble like that, the first thing I twiddle with is the cascade option.
As far as I know, the mapping is correct (I'm using mapping files that look exactly the same). The problem is the cascade
attribute: the "all" option forces NHibernate to propagate each action on an entity to the instances of the collection. In your case, when you delete a news item all related tags are deleted too.
You probably should use "none" (in that case you'll eventually end up with some unused tags in the database) or "delete-orphans" (on the news item side - use "none" on the tag side).
Use the cascade option "save-update".
The option "all" will cascade deletes, which you do not want in this case. But you the option "none" will require that the Tag entity is already persisted which I guess might not always be the case.
So by setting the cascade to "save-update" new Tags till be inserted in the Tags table and in the link table News_Tags, but when you remove a tag from a News entity it will only be removed from the link table not the Tags table.