This is definitely a bug, but fixable. The latest Microsoft Health app update has removed the custom labels you assign to your workouts. When you go into the Exercise Tile for the first time after the update, you’ll see that all your manually created exercise labels missing.
To get them back, just go into Manage Tiles in the Microsoft Health app, choose the Edit option (looks like a pencil) for the Exercise Tile, under Customize at the bottom of the screen choose the Edit button, tap the checkmark to once again save your custom exercise labels, exit the Exercise Tile edit screen, then Save everything so that the Band gets updated.
There you go. Custom labels are back.