Yes, but if you don't add nothing more than TLabel there is no need to extra checking.
For example, I have lists of TJSONData, and I know that there is nothing more. Even better, if there is something more is a bug and need to be fixed.
But, if you're iterating an array of any object, yes, then it has sense.
If you need to check more, also check if objects (Labels) are assigned. That can happen, you assign something and then free it or it's freed by another part of the code. Well, that should not happen also!
But I also see the point, to catch errors or prevent them.
If you go all defensive, check if is assigned and as you say, if it's TLabel.