You can add a panel and put the label inside it
As I recall, this is what I had to do to allow the label (as button) to propagate to the click event.
Extra code (in designer) and knowledge to get to the underlying ( panel - pane click) event... but it works...
Designer gets a little crowded / confusing.
If a panel / pane had (some of) the properties of a label (text and stuff), well then it would be a label?
It "seems" it would be easier if there was a click event for a label, but what the heck do I know...
Frankly - nuttin... I just gratefully use this amazing stuff.