Hello Avishai:
I'm very new to Lazarus (v. 0.9.30), running on Windows XP.
I set up a small test program using your code here, declaring a variable of type TAviLabeledEdit in my main unit and creating an instance of it in my FormCreate event. I don't see any label on the panel that is created -- it looks fine.
I didn't try to create an actual component though and add it to a package. Is that where you run into the problem?
If so, I'd suggest you try overriding the Loaded procedure for your component, and putting your caption := ''
statement in that procedure, rather than in your constructor. Strictly a guess, but I bet right now, you're constructor is trying to clear the caption, but your component when at load time is using the panel's default caption.
Again though, I'm very new to Lazarus.