I've done some considerable searching on this, and I'm beginning to
suspect it simply can't be done, but perhaps some MVP's here can
definitively state the "last word" on the subject:

In Calendar View, starting a new appointment exposes labels that can be
assigned to the appointment in question. Now they can be edited, that
much is clear.
BUT
Can NEW labels be created (brand new, that have never existed before,
and with a custom color code)
Regards & TIA.