You can assign each label to a Category, and then edit the toolbars/menus to display each category as a separate list.
This is actually how the Labels and Status Icons menus work already. They're really all labels, with the Status Icons in a separate category which is shown in one menu and filtered out of the other menu.
You could use a Label Filter for that. They can be created via Preferences / Favorites and Recent / Label Assignments.
Path labels target specific files/paths, and aren't what you want.
For all exe files everywhere, you'd want a wildcard label, which is created in the same place, and set the wildcard to *.exe
For exe files only in specific folders, you'd wand a label filter, also created in the same place, which uses rules to say only *.exe files and only when their locations are under a specific folder. Or it could use a wildcard on the Full Path, if that's easier.
(There's also the option of using a simple *.exe wildcard filter, and saving the label into the folder's Folder Format instead of globally, which is a bit more efficient. I use that to highlight *.exe files in and below my downloads folder.)