Are you printing them all at once? I also assume you're using "when saving document" as the PPF action definition processing time for the HU printing?
The standard behaviour is processing PPF actions in parallel, this means there's no control which label gets printed first.
I can think of two ways you can fix it: either change your PPF action definition processing time to print differently (such as using a report) with a sorting sequence (see note 3294536) or you implement the BAdI COMPLETE_PROC_PPF method COMPLETE_METHOD. (note 2840582) - basically, this BADI changes how the PPF actions to print the labels are processed. Instead of using tRFC (parallel), it uses qRFC instead (queued).