Hmmm, I have JMP PRO v12.2 (as well as 14.2) and from the picture below you can see that my version of JMP 12.2 does not have a Labels role. From my experience, the variable you select for Label is used in Hierarchical clustering. If no Label is specified, then the row numbers are used. See pic 2 & 3. You can always select the column (sex) then from the Main Menu >Cols, or from your table's Columns red menu, select Label. Then the kMeans cluster graphs you can highlight points and see their locations.
Alternately, you can save your cluster numbers and analyze the relationship of your Label variable versus the Cluster ID. I am not sure of your goal, so I am just documenting my version of JMP 12 and my experience.
Label variable is sexNo Label variable is specified