It's my impression that showing gridlines -- rather than hiding them -- is
the out-of-the-box default, so I've never had them not show unless I
manually turned them off. This may be one of the settings that's saved in
the Normal.dot template, which is always used by the New Document button in
the labels dialog. Try the procedure described in http://word.mvps.org/FAQs/General/SaveViewAndZoom.htm and make sure
gridlines are showing (that is, the item in the Table menu should say Hide
Gridlines rather than Show Gridlines) when you save the template.