It looks like something after the redirect from MediaWiki forces the browser back to regular HTTP.
Steps to reproduce.
- Log out https://labels.wmflabs.org/auth/logout
- Try to label things: https://labels.wmflabs.org/ui/enwiki
- Do the OAuth dance
- Browser now shows http://labels.wmflabs.org/ui/enwiki
Note that HTTPS Everywhere (browser extension) causes an infinite loop.