Customizing the discovery queue in Steam doesn't work for me.

Yeah, same problem here. I excluded VR and yet it shows me games with the VR tag.

haven't tried it myself, mostly because it seems like a poor way to customise the queue
keep in mind that the VR tag doesn't necessarily mean that you need VR to run it, it's also applied to games that support optional VR so you'd be excluding those too

If you added the exclusions while you were browsing through a queue, it's normal, as it was generated before that.
If it happens with new queues, well... we could attribute it to Valve being Valve, they always mess up with things, especially with those that are actually useful for us.