To delete a photo label on a project, hover over the color box for that label in the filter box on the right side of the screen. When the arrow appears in the box, click on it. There you can select "Delete Label."
To delete a default photo label for your account, you will go to your Main Menu > Settings > Account > File/Photo Labels. Here you will see a "Delete" option next to each label. This will not remove the labels from existing projects but will prevent that label from being created automatically on new jobs you enter into CoConstruct.