chachnet,
In the label tool settings, at the bottom of the text styles sub palette check the "label frame".
FYI, while you are in the label settings, look at the available options under "content and Preview", select for example, the wall tool label, there will be a smallish preview to the right. The options for keynote style are expanded, run through all the sub-options and custom features.
Snap
PS Please edit your profile to add a "signature" with the AC version you are using, also MAC OS or the Imperium's gifts to mankind.