It would certainly be handy.  However, you can do that in Word two ways.
(1) Open the label you want to use, click on the Insert Address button,
select the Contact you want from the drop-down list, and Word will insert
the Contact's name and address (This is an AutoText function and you can
modify the field and how they are entered using AddressLayout).  Obviously
you need to have a template or at least a form for the label you want and
have it formatted as you like.  Or (2) Go to tools, Envelopes & Labels,
select labels, then check Options if you want a different label, then click
on that address book icon, and Word will insert the Contact's name and
address.