Labels are one of the most complicated and controversial parts of the music industry. The main reason for that being that the term itself is not clearly defined and refers to at least two overlapping concepts: imprints, and the companies that control them. Fortunately, in many cases the imprint and the company controlling it have the same name.

Imprint
Labels in MusicBrainz refer mainly to imprints.

An imprint is (strictly, and nothing more than) a brand (and trademark) associated with the marketing of sound recordings (an imprint is not a company). An imprint may be marketed as a project, unit or division of the company that manages it. Imprints are the information you certainly want to add in the database and is the information available on sleeves in the form of a label logo (a.k.a. imprint). Imprints are labels, as one usually understand it. Specifically, you should favor using names as they are represented on the imprint, rather than using a company name (usually found in "copyright"/"produced" mentions).

Record company
To a lesser extent, a label entity may be created in the database to represent a record company.

A record company typically manages imprints, and coordinates the production / manufacturing / promotion / relations with artist / PR / distribution of sound recordings. Record companies may directly handle one or more of these aspects, or may sign contractual agreements with other companies to do the job. In some specific cases, you may want to create a label in the database to represent such a company name rather than an imprint: usually, such a move is required when labels went through complex merge/split operations and you need relationships to structure the imprints list and represent their history in a meaningful way. It can also make sense to add such a company in order to use the manufacturing and distribution relationships. Please note, though, that there is no need to "de-duplicate" companies from imprints when their name are very close.

Music group
Lastly, we also store music groups.

A music group is a financial holding company, whose purpose is solely to control and manage other companies directly involved in the production of sound recordings. For record companies, the use of Music groups is reserved for specific cases that you will likely not encounter unless you're doing some research intensive background work on structuring the labels list.

Others
At this time, we don't keep track of companies involved in the other aspects of the music industry (PR, management, etc.), and we don't get into too much financial details, or try to represent exactly the socio-economic organization of companies. There are three reasons for that:

this information is usually not available from sleeves
this information is irrelevant to the MusicBrainz goal of being the ultimate source of music information
such a project would be extremely complicated and our current data model is not fit for it
There are several entities that are not correct labels for which we still keep an entry so we can stop people from adding releases to them. You can find a list of them here.