You can add the headers to the message before you send it.
Here's an example:
$mailmessage.Headers.Add("msip_labels", "MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_Enabled=True; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_SiteId=00000000-1111-2222-3333-444444444444; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_Owner=user2@domain.tld; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_SetDate=$((Get-Date).ToUniversalTime().ToString(\"yyyy-MM-ddTHH:mm:ss.fffffffZ\")); MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_Name=Internal; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_Application Microsoft Azure Information Protection; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_ActionId ffffffff-5555-6666-7777-888888888888; MSIP_Label_aaaaaaaa-bbbb-cccc-dddd-eeeeeeeeeeee_Extended_MSFT_Method Manual")