That's functioning correctly. The toggle for No Signup Window and Use Signup Window is just referring to the window users will be able to sign up, not disable signups. The Signup Window is the dates between which users can sign up.
As for the Event Labels, they seem to be working as intended for me, could you describe a bit more what is happening for you?
So it's a window of time? OK, I misunderstood. Is it possible to disable signups through the calendar?
Labels and Time Zone gets dropped if an entry is edited. The time zone is really a pain, since your list of zones is very long.
Here's an event at 7 PM, with a yellow label.
If that event is opened for editing, it looks like this:
There is no label, and the time zone is New York (our guild time is Los Angeles)
So, if I don't select the label and time zone again, I get this: