Private WithEvents label As MSForms.label
Public Function CreateFilterCountry(ByRef frame As Object, ByVal nameLabel As String,byVal dblLeft as double)
    Set label = frame .Add("Forms.Label.1", nameLabel , True)
    With label
        .left = dblLeft 
        .top = 0
        .height = 30
        .width = 35
        .Caption = "test" & nameLabel 
    End With
End Function

Private Sub label_click()
    msgbox "Run" 'осуществить зависимость от других label
End Sub

Private controls As Collection 'Коллекция

Private Sub Class_Initialize()

    controls.Add New CreateLabel
    Call controls(controls.count).CreateFilterCountry(FrameCountry, "ru", 0)
    controls.Add New CreateLabel
    Call controls(controls.count).CreateFilterCountry(FrameCountry, "by", 30)
    controls.Add New CreateLabel
    Call controls(controls.count).CreateFilterCountry(FrameCountry, "kz", 70)
    
End Sub