Currently using LibreOffice 3.5:build-403, and this version no longer shows label gridlines when using New-Labels-New Document. Is this a bug, or an intentional change in the code?
In the labels tab, type is defined “user” with this selection you can see in format tab, that there is only 1 column 1 row → only one label → no grid. Select the type as you need, and you can see the grid.