This is because the users do not have a mailing address selected. To change this navigate to:

  1. Core
  2. Users/Access
  3. Profile
  4. Edit User Profile Data
  5. Search for the User
  6. Scroll down to the Address section
  7. Click Edit
  8. Select the Mailing Address option

Once you have enabled their Address as Mailing when you re run the Mail Labels from the list the user will now display.