Yes, and I had this problem too. But it's not a problem, just an instructional issue that took me a while to figure out, although it was mentioned in one of the help files.
Do you search and display your opportunities that you want to associate with the labels. Then, instead of selecting Actions, print label, go to File, Print, then labels. This will print a label for all of the opportunities that you have selected on the screen. That's not intuitive, but it works. You can save trouble by doing a preview first, then the real printing. I do mailing this way, then merge the letter to the customers through mail merge in the same way. Windows envelopes are helpful too since it can save you from printing a label.