Hi Adrian,
thank you very much for your time. I forgot to add an important piece of information. It happens with map image layers. With feature labeling works fine. Anyway I tried your suggestion and when the map is loaded it shows the labels, but it I try to change it, just with opening the label menu the labels disappear. I do not know if it is a bug or it is supposed to work like that.
I have been searching the web and have not found anything related. If it was a bug I guess someone probably would have already said something about it.