Why's the Shape Menu Disabled?
Because you haven't selected a shape object to play with. Click on any shape you've added to your label. This will make it the selected object, and it will grow a red sizing frame & titlebar, and a toolbar will appear underneath it. Now the Shape menu should be enabled, and choices you make from this menu (excluding the "Create a new shape object" option) will apply to the shape you've selected.
If you don't have any shapes on your label, try clicking on the "shape" button on the main toolbar or selecting the "Create a new shape object" item from this menu to add some.