Your post got me thinking (and googling), as what if you were to save hundreds of files in different locations?
Anyway i am not running 365 and nor do i have the Azure security but i found and modified the below but have been unable to test.
Maybe if you ever have the need you could play with something like the below (untested):
Sub set_label() Dim label_info As Office.LabelInfo
Dim wb As Workbook
Set wb = Workbooks.Add
Set label_info = wb.SensitivityLabel.CreateLabelInfo
With label_info
.ActionId = "" 'fill
.AssignmentMethod = MsoAssignmentMethod.PRIVILEGED 'fill
.ContentBits = 0 'fill
.IsEnabled = True
.Justification = "" 'fill
.LabelId = "" 'fill
.LabelName = "" 'fill
.SetDate = Now()
.SiteId = "" 'fill
End With
wb.SensitivityLabel.SetLabel label_info
wb.SaveAs Environ("USERPROFILE") & "\Desktop\wb with label.xlsx"
wb.Close True
End Sub