Because Windows print system has page based. Maybe you can try direct print your labels like that way:

xfile="myprint.txt"
xport="lpt1"
SET PRINTER TO (m.xfile)
SET PRINTER on
SET CONSOLE OFF 
  SCAN
    ?myfield1
    ?myfield2
    ?myfield3
    ?
    ?
  endscan

SET PRINTER TO 
SET PRINTER off 
SET CONSOLE ON 

  STRTOFILE(CPCONVERT(CPCURRENT(1) ,CPCURRENT(2),FILETOSTR(m.xfile)),m.xfile)
DECLARE INTEGER CopyFile IN kernel32;
	STRING lpSrcFile, STRING lpDstFile, INTEGER bFail
CopyFile(m.xfile,m.xport, 0)

>I got a very strange behaviour printing some labels with VFP7. It prints a whole page and cuts the rest of the informantion it was meant to printed. I need help to make it prints until the end of the data i have to print. I change the _plenght in the program and paper lengh in the printer properties, but it did not help. Why it is happening?