Can I delete a label from a single message or all message that have that label?
Yes. To delete a label from a single message, select the message, and then, in Labels drop-down list at the top your Mail window, uncheck the label. Click Apply.
To delete a label from all messages that have that label, in the Labels drop-down list, select Manage labels. (You can also click Edit labels at the bottom of your Labels list at the left of the Mail window.) In the list that appears, find the label, and then click Remove.