I have not found any way to change the default for the label tool. This is most likely controlled by a registry setting (if it's even configurable) and maybe someone will post it for us. Microsoft has a bad habit of creating useful aplets and not giving us any way to change how they function. Then we're locked in to narrowly using what could be a very powerful tool.
My suggestion is to get in the habit of never printing from the label tool, but choosing "New Document". This will put the label on a page for you to preview or format before printing. Similarly, I scold anyone who clicks the print button in Excel and running 600 (hopefully blank) pages through the printer because they didn't preview their page.