What's the difference between tags and labels?

Labels are used on items like workflows, tables, scripts, different snippets (Entity Sets, Scopes, ...) etc. They're manually managed by users and are used to help organize or filter those items.

Tags are used exclusively for Entities. They can be managed by users, but they are applied primarily by data imports and much more so by scripts -- they tag those entities to denote specific events or statuses and have start/end dates associated with them as well.