In layout mode or browse mode? In layout mode you will only see the fields and layout objects for a single record. This is so you can modify the layout design if needed.
In browse mode, you should see a single column of label records down the left hand side of your screen.
In preview mode, you should see a full page of labels and you should check this view with the printer you intend to use to print the labels selected in print setup to make sure you are getting a full page of labels. (Sometimes you'll find the bottom row is missing until you adjust your layout slightly.)
When printing, make sure you select "Records being browsed" to print all the records in your current found set.