It makes a click on the label focus the input element it is for.
In the example you posted, you simply click on the word Male or the radio button in order for it to get selected. Without this, you have a much smaller target to click...
If it's needed then is there some equivalent in HTML 5 or is it the same?
It is not required, but is good practice for labels that have a direct form element to focus on (it wouldn't make much sense for a label that doesn't have a counterpart on a form).
The syntax is the same for HTML 5.