This is because the users do not have a Mailing address identified on their record. To change this navigate to:

  1. Core
  2. Users > Edit User Profile Data 
  3. Search for the User 
  4. Scroll down to the Address block
  5. Select Edit
  6. Select the Mailing Address check box. 
User-added image

Once you have enabled the address as a Mailing Address, re-run the list for the user to appear in the mailing labels.