You could set the DataSourceID of the RadComboBox to the concerned SqlDataSource. Now attach the OnSelectedIndexChanged event and in the event handler, access the Label and set the Text property.
Now, if the Label is outside the grid, then you can directly access it and set the Text. But in the case of Label placed in the grid row (ItemTemplate), then you need to get reference to GridDataItem using NamingContainer of combo in the SelectedIndexChanged event and then use the FindControl() to access it.
Referencing controls in grid row/edit form
I hope these suggestions help you.