I just tried to add a label picture, but it seems the file has been deleted - and there's no LabelPicturePath set in the database.
I don't use the default path in options, but I couldn't find the picture there either...
I tried to reproduce this with my MySql database:
1) Open Edit label
2) Loaded a picture from disc
3) Saved changes
The picture got placed in the pictures folder (C:\Users\MyUser\AppData\Roaming\Imploded Software\Helium 12\pics\Label Pictures) and was properly set in the database (tblLabels).
Did you do any other steps?
Does it occur for all labels?