Check to see if the Tools > Options > Batch > Perform local actions in batch > Label Printing checkbox is checked. If it is, uncheck it. That checkbox changes the behavior of the File > Print Labels menu option to set the Label status on the titles you have selected to Ready ("R") so they will be printed the next time you print via the Batch menu. With it turned off, it will send what you have selected directly to the printer.
There is more information on Connexion client label printing.