1- Do My Tasks come under default folder and can user move these My Tasks to user created folders where user can select from the available retention tags.
Yes, you could move your tasks to other folder to select other tags.
A related thread discussed the question: Can I change the default folder that my Outlook Tasks are stored in?
2- Do Archive Folder come under default folder?
Yes, according to the official document: Default folders that support Retention Policy Tags in Exchange Online
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