21 doesn't have mail. Do you mean you migrated from Opera 12 to the standalone Opera Mail 1.0? If so, did you make sure to use the new import wizard that imports settings and everything (including labels)? It'd be the first import wizard choice in the dialog and would be above "import from Opera". Import from Opera doesn't import labels.
But, forget about the import wizard, just move the mail folder, contacts.adr, wand.dat and operarpefs.ini from the Opera profile folders to the Opera Mail profile folders. Then, everything will be just like it was in 12. But, you should stick with 12 for mail and just set the http and https protocols in "alt + p -> advanced -> programs" to open with the default browser. That way, you can use 12 for mail only. The standalone Opera Mail 1.0 is a broken and unfinished product that is just Opera 12 with some browser stuff hidden.