There should be a layer drop-down in the Add Labels dialog box to set the label object layer prior to placement.
I would love this feature and I would like to add that all Styles should have the ability to be configured CURRENT, BYLAYER, and BYSTYLE options for all aspects for the Styles.
The BYSTLYE option could allow users to set text heights within the Component Text and Dragged State tabs to BYSTYLE to automatically set the Text height based on the Text height of the Text Style selected under the General Tab -> Label -> Text Style setting, such as L100, having a paper height of 0.100". Also allow the use of formulas for values such as Arrow height could be {Text Height * 1.25} to have the arrow of your leader 25% larger than the height of your text. Although I would prefer that Dragged State Leaders be defined and behave exactly as MLEADERS.
The BYLAYER could be an option within the General Tab -> Label -> Layer setting to have the Label placed on the Layer which the object selected to label is on. This also could be expanded to include prefix/suffix to the layer such as if the Line to be Labeled is "V-BNDY" then the Layer setting could be {BYLAYER}-LINE-LABL which would translate to "V-BNDY-LINE-LABL"
The CURRENT could be an option all settings within a style such as the General Tab -> Label -> Layer setting to have the Label placed on the Current Layer (CLAYER). CURRENT could also be used in all Text Heights within a Label Style whereas the text height would be based on the Current Text Style (TEXTSTYLE). The Leader Arrow and Settings could be also set to CURRENT and be based on (DIMSTYLE) settings.
In summary all of these features could drastically reduce the number of predefined Styles in our template and simplify all of the necessary steps required for having labels of the same style to be places multiple labels much easier without consonantly changing the Object Layers setting.