We have actually left the labels out by design. The main reason for this is that we have designed the heat map with the intention for it to be used with tens of thousands of cells, in which case no labels would be readable as they would overlap. If in your scenario you don't have that many labels you can consider using a RadGridView instead, styling its cells in such a way that you get that heat-map-effect.
However, I have decided to log this as a feature request in our PITS
where you can vote for it and track its status.
All the best,
the Telerik team