For information about applying plot label styles during the creation process, see Default Settings for New Plots.
Plot area selection labels are always created and cannot be deleted. Plot segment labels are not always applied in the creation process. Plot segment labels are individual objects and can be placed on a layer separate from the segment being annotated.
If the label is not visible, see To Hide or Show Plot Labels.
If you have selected the label correctly, the label text and its anchor point are highlighted.