Judging from the way you wrote your question, the answer is no. Full stop. No property in the System.Windows.Forms.Label class is related to escape sequences.
But I didn't fully understand your question. Do you need to display escape sequences in label? For example, separate items by \n. You can double-escape the value you put into the Text property of your label, in that case, or, smoother, preceed the string quotes with @. For example
myLabel.Text=@"Separate items with \n";
I hope I have been of help.
