I’m talking about this dialog:
which you open via the menu entry Edit → Edit Labels…
This dialog is quite useful for organizing labels but if you have many of them you’ll have to drag the dialog window to a bigger size to work efficiently. Unfortunately the size gets reset every time you open it, which is really annoying. 
I’m using Audacity v2.1.2 on Windows 7 x64 in case that’s relevant.
I did this for my custom version of Audacity. In my case I chose to create a new class from which every window who wants to remember its size/location derives. This new class takes care of storing and retrieving size and location. It’s pretty simple and quite popular with my clients.
So this sounds like it’s easy to implement then. Let’s hope that some active dev sees this and decides to include it in a future build.
Most developers do not read the Forum. I added your “vote” at Missing features - Audacity Support.
Gale