Of course it's possible.
See the example I gave, where every fpobjectlist entry is a reference to an actual label created in the normal way by dropping a component on the form.
Perhaps you need to post a (minimum) compilable project that fails to do what you are after.
As jamie pointed out you seem not to understand the difference between a label instance and a reference to that instance, and you "Free" references which should not ever be required.
Ensure the form (or some container) owns all your components, and let the automatic Freeing mechanism of ownership do the task for you. A reference can just be set to Nil when it is no longer useful or required.