Yes, that is right, there is no Label control in Silverlight. Instead you should use the new control System.Windows.Controls.TextBlock. Keep in mind that it can display only text, no images or other type of content, just text.
Xaml
<TextBlock x:Name="statusText" Text="Active" TextWrapping="Wrap" TextAlignment="Left" VerticalAlignment="Center"/>
C#
TextBlock statusText = new TextBlock();
statusText.Text = "Active";
statusText.TextWrapping = TextWrapping.Wrap;
statusText.TextAlignment = TextAlignment.Left;
statusText.VerticalAlignment = VerticalAlignment.Center;
That's it!