I wouldn't care much so long as they are uniform throughout the document and they don't contrast with the overall aspect; for instance, if boldface is never used (except, say, for particular math symbols), I wouldn't use boldface for labels.
In that document small caps are abundant and so the choice of reduced size capitals can be justified. Personally I'd prefer lowercase, though.
It's not simply a question of "no contrasts, please". One might very well choose contrasting fonts for chapter and section titles, for example. But a figure is much more alike text than titles are.
In the sample paper, the labels to the objects are not more important than the relations between those objects; using boldface or even italics would give those words too much evidence with respect to the objects.