As label sheets go through a printer, they can rotate slightly if the rollers in the printer are not exactly aligned. Above the main paper tray in most printers is a media bypass slot; you should use this slot if you can, as fewer rollers will be used and any rotation will be minimised.
Also, paper labels have a grain (like wood) which runs from the top to the bottom of the A4 sheet. Therefore they must always be fed narrow edge leading, ie portrait into printers. Feeding the labels landscape may make the labels release as they go over the rollers, hence jamming the machine.