The newest version of Photoshop doesen't print the Labels. Often, printing work previews for verification purposes, I check "Label" option to print the filename on the top of the page. It doesn't work properly.
Tomasz, thanks for the image. You are correct, I was looking to see if it showed in the preview. I'll take a look at this and see if I can reproduce it. From your description, the labels did print in the last version of Photoshop?