With fixed slaves, Label Linked Jobs dashboard shows available labels and the jobs associated with them correctly.
But when slaves are temporary - created on-demand when a job starts, then destroyed when the job is complete - those labels do not appear in the Label Linked Jobs dashboard. For example, the Docker Plugin allows creating a "cloud" where the "cloud" contains slaves that will be created from docker containers on demand. Each slave does have a label string associated with, just like a normal slave.
Not sure if the Jenkins generic cloud has a way of getting the labels or not. There are other plugins that create slaves on demand; they may have the same problem as the Docker Plugin.