@michael_soprano Originally thought this had to do with this message you get when applying the labels:

I then tested after adding the PSPD and RHD labels to my role (in Permissions) and I'm able to remove them in the same way using the cross but I'm also able to delete them without those labels it seems.
From your screenshot, you only have the 2 checkboxes in the filter pane but I don't see the actual label in the 'Sensitive Labels' columns. If you still don't see those when selecting the checkboxes, please raise a Support ticket so we can take a closer look.