AJAX controls like RadTextBox and RadComboBox have label as one of their properties. However RadDatePicker doesn't have a label. Although it is possible to add a label to a RadDatePicker, the results are far from what you can see in RadTextBox and RadComboBox.
RadDatePicker use RadDateInput inside its structure, so you can set the Label to the input directly. YourPicker.DateInput.Label = "some text"
To Admin team: Please move it to FeatureRequest / RadCalendar.