No, because there is a fundamental difference in how the map layers are being drawn.
When you add an entire map service, the server generates an image and returns it to the client. Because the image is created on the server, it has all the cartographic ablities of the server. The client then just draws the image. When you add individual layers of a map service, you no longer using the map service to generate an image. Instead, you are accessing a layer in the map service by retrieving the geometry of the actual features in the layer. The client application then draws the features. No labels are returned from the server. Thus, in order to see your labels, you need to draw the entire map service.
Thanks,
Mike