The ability to attach labels to the Local History is a nice feature because it allows you to mark key points in your code. However, they disappear when you do something else, e.g. run a suite of tests or make a committ - which totally nullifies their usability.
Also, it seems that local labels apply to the whole project. The doc says you can attach them to the project, a directory, or specific file. I think this is just a case where the Help is out of synch with the implementation.
Thanks for a great IDE!