You can not use on click events on label. Instead of adding text as label, what would I do is use a button and add the text which I wanted to add on label and then add an on click event microflow to show a page. Further style the button to make it look like label and not a button. There might be better ways of doing this which others can share.
Hope this helps!
As an addition to the previous answer, choose to render the action button as a link. Mendix will render an <a> html element. This will make it easier to style like a label. Maybe you don't want it to look exactly like a label to show your user that it is clickable.