A task can have a flag, but you can't add the flag using the user interface.
It would have to be done using code. So for non-programmers you are
essentially correct.

MS limited the UI for creating search folders to mail folders. That's an
artificial limitation. In code you can easily create a search folder for
tasks or even for mixed types of folders. The only limitation with that is
the search term must use a property or properties that are common to all the
item types in those folders. So you could search on Subject or Body or other
common properties.

Reminders is a hidden example of a search folder that can work with tasks,
contacts, appointments and/or emails.