Hi Darrien Walters,
I have explored the way to add labels using Distribution Fitter App but did not find a way. I both this issue to concerend developer and may be concered for future release.
But since the app is used to fit differnet types of distribution on to data and visulaize in a figure. As a workaround in order to get label with dataset name. Go to File -> Print to Figure this will create a new figure and using the figure Property Inspector you can change labels.