Current answer: The current versions of the TFS Synchronization and Migration Toolkit and the latest TFS Integration Platform do not support the migration and/or synchronization of labels. The current TFS Version Control Adapter does not migrate labels and you would need to do some work in terms of extending the out-of-the-box adapter if you need support for labels.
Support for labels is on the backlog of features to consider, but as it is not implemented as yet, it is important to consider the impact as part of your planning of migrations and synchronisation scenarios. Proceed with caution.
… how important are labels to you?