Bart,
I think you’ll need to use a microflow to save the new label in the dialog for that, instead of the standard save button. To get the list of labels to refresh, you’ll need to commit the context object that the label selector is inside of. If you create a simple microflow that commits the new label and commits with refresh the context object that the label is associated with, and then use that instead of the save button of the new label dialog, I think you’ll get the new label in your label selector.
Hope that helps,
Mike