If you try and add a release with a brand new label, and an unlinked but known artist, it is impossible to select a known artist and add a new label from the missing entities tab. Instead, selecting "add new label" ends up deselecting the artist radio button.
This is in Firefox.
The workaround is to just add the label separately.
Changing the name attribute on the label radiogroup from missing.artist.0.entity_id to missing.label.0.entity_id works around this; looks like the template is ignoring the entity type, and just always using "artist" regardless of entity type.