Currently, RadLabel does not support this functionality. However, there are two approaches you can use to get similar results:
Use several RadLabels with different font styles.
Add several TextPrimitives in a StripLayoutPanel to your RadLabel. Then, you can set different Text and style properties for each of the TextPrimitives. I have demonstrated this in the sample project attached.
If you have additional questions, do not hesitate to contact me.