TFS labels can be a bit complicated, and the way that Visual Studio (GUI) vs tools (tf.exe, BuildMaster, etc) interact with them are different. What may be happening in the GUI is that multiple labels are being created with the same name, and the the GUI is "searching" for files by label name (as opposed to "getting" those files).
If you were to do a tf.exe get (https://docs.microsoft.com/en-us/vsts/tfvc/get-command?view=vsts), for example, you should see the same behavior. Instead, makes sure to first create a label at the $/ root level (e.g. tf label myLabel $/ ), and then you can sub-label items.