Why are ungrounded GFCIs required to be labeled?
Some surge suppressors dump surges to the grounding conductor, some audio video equipment requires a grounding conductor, some "smart" devices trickle current to the grounding conductor, etc.

It also notifies folks doing work in this box in the future, that they shouldn't expect to connect the grounding conductor. The label is also applied to all other outlets supplied by the GFCI, since it may not be obvious in remote boxes what's going on.