It would appear that this is currently(?) a wings feature. I'm not sure if this is just an effect of the recent site update and will be fixed/changed back, but since there has been no official statement saying that it's now wings-only, I guess there remains some hope. :)
(On the other hand, I must admit that this would actually make sense as a wings feature. So instead of supporting the site by buying labels from the store, you'd support it by buying wings to print your own instead...)
Unfortunately it looks as if only those with wings can currently access the link to download labels. However, what isn't clear is if it's the unintentional side-effect of the recent system changes or whether wings will be a requirement for this feature from now on.
Until we have more clarity on this, we're doing the following: if you are wingless and would like to get hold of some prenumbered or free downloadable labels, we'll give you a week's wings, on the house, to tide you over. Click on Contact Us at the bottom of the page to request these.