I tried to reproduce this and couldn't, but perhaps I'm not following the same steps that you did.
Are you trying to get a history report on a file with the label names?
I tried this with a pinned file and it showed all the lanel actions. I was using "Show History" in the SOS 4.2 GUI Client, then saved the report as .csv.
I also did a -Getfilehistory command with the Command Line Client and it showed the label names, even though the file was pinned.
If you did something different let me know. Also, screenshots might help.
We may have different configurations. What version of SOS Client and Server are you using?
Also, what version of the VSS automation component is the SOS Server using? Here's how to find out:
http://support.sourcegear.com/viewtopic.php?t=1510