My father uses a Dymo Duo. It has the ability to print both adress labels and tape labels.
In his filemaker solution I implemented several adres label print buttons.
Works like a charm.
EDIT: This one:"LabelWriter® 450 Duo Label Printer"
You might check to see if you have the latest drivers for Dymo--which many people report using and none have reported that it closes the file on them.
You might create a small test file and see if it closes when you print to the Dymo--that may reveal that something isn't right with your original file if it prints to the Dymo and the file is not closed.
I do have the latest drivers on the Dymo and it works from Microsoft Word. And I did try a totally different new test from Filemaker with the same result.