Hi. Well we have been adding more and more stylesheet classes within Dynamic Forms recently and will have even more in the next release, but I know label should already be on that functions properly.
You might view the source of your form and see if the labels are using this stylesheet:
DynamicForms_Label
Which is what they should be using if you are using the custom one (otherwise you can change the NormalBold styleclass within DotNetNuke directly if you are wanting to use the core styles).
I will try and see if we can get a demonstration up soon outlining this. You might also open a support case on Snowcovered if you still can't get it to work. I think you will want to make sure you click on 'Update Stylesheet' since the settings is saved separately from the standard 'Update Settings' area.
-Chad