Zones cannot be labelled, this checkbox is not available in their Settings Dialog, probably because their label is built-in and it is called the Zone Stamp.
The only way I can imagine this is possible is by modifying the Zone Stamp script, and scripting it in such a way as to respond to Model View Options changes. For this purpose you would probably have to create your own MVO settings for Zones to respond to. But all this is deep GDL stuff.
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