I have been having issues with the Labels option not appearing under Filters in Movies and TV Shows libraries. I have no additional users under My Home in Plex, and it appears that this is the cause of the problem. It would appear that Plex only displays the Labels option if you have at least one additional user in your Home or have the PIN set for your own account.
I have been using a test account to try out the sharing and, as soon as I added them under My Home, the option to filter by label then appeared. After removing them again (and removing the PIN from my account), the option disappeared (if I remove the other account without removing the PIN the option remains, but I then need to enter the PIN when I logon to the web application).
This makes management of labels difficult if you are only sharing with friends and not using the Home feature.