Correct, it is only meant to find explicitly applied labels.
Usually the automatically applied labels have such simple criteria that it would be easier to simply specify the same criteria in the select filter.
However, if you are using complex filters/criteria and wish to define a filter centrally, then use it for both labels and selection, you can do that via Preferences / File Operations / Filters. Then you can use a Filter clause in the label or selection, which refers to the saved filter. (Essentially, one filter pointing to another by name.)