Private lbl As MSForms.Label

Sub AddLabel1()
    Set lbl = Worksheets("Лист1").OLEObjects.Add _
      (ClassType:="Forms.Label.1").Object
    
    lbl.Name = "Label1"
    lbl.Caption = "Заголовок1"
End Sub

Private Sub Label1_Click()
    MsgBox "AddLabel1!", vbInformation
End Sub

Sub AddLabel2()
    Dim lbl As MSForms.Label
    Dim vbc As VBComponent
    Dim cm As CodeModule
    Dim i As Integer
    
    Set lbl = ThisWorkbook.Worksheets("Лист1").OLEObjects.Add _
      (ClassType:="Forms.Label.1").Object
    lbl.Name = "Label1"
    lbl.Caption = "Заголовок1"
      
    With ThisWorkbook
        Set vbc = .VBProject.VBComponents(.Worksheets("Лист1").CodeName)
    End With
    
    Set cm = vbc.CodeModule
    
    With cm
        i = .CountOfLines +  1 
        .InsertLines i, "Private Sub " & lbl.Name & "_Click()"
        i = i +  1 
        .InsertLines i, _
        "    MsgBox ""AddLabel2!"", vbInformation"
        i = i +  1 
        .InsertLines i, "End Sub"
    End With
    
    Set cm = Nothing
    Set vbc = Nothing
    Set lbl = Nothing
End Sub

Public WithEvents lbl As MSForms.Label

Private Sub lbl_Click()
    MsgBox "AddLabel3"
End Sub

Sub AddLabel3()
    Dim lbl As MSForms.Label
    
    Set lbl = ThisWorkbook.Worksheets("Лист1").OLEObjects.Add _
      (ClassType:="Forms.Label.1").Object
    lbl.Name = "Label1"
    lbl.Caption = "Заголовок1"
    
    Set lbl = Nothing
End Sub

Sub AddEventToLabel1()
    Set cls.lbl = ThisWorkbook.Worksheets("Лист1").OLEObjects("Label1").Object
End Sub