Performance, mainly. Text is irregularly shaped, so creating a region for it will be slow and everytime Windows does a hit test against the label it will be slow. If labels only ever had a small amount of text it might be acceptable, but labels can (and often do) contain a lot of text.

The other issue is mouse input. If you're trying to catch mouse input (OnMouseEnter, OnLeftClick, etc), it would be near impossible to click right on the text unless the font was huge.