With tasks it’s similar, just long-press the task (Android) or swipe any task to the left (iOS) and it will be deleted.
NOTE: There are two types of shared labels: Read-only [ ] and Editable [ ]. Read-only labels can only be edited and deleted by the person who created them. Editable labels can be edited and deleted by anyone the label is shared to. In order to view your shared labels, select the Shared Labels icon [ ] (Web & Tablet), or tap the TaskLabels logo [ ] and select Shared Labels (mobile).