When USPS tracking says that a shipping label has been created it means that the person who is shipping the package to you has printed out a shipping label and is getting the package ready to hand off to the USPS.
It could also mean that the package is at the USPS and the USPS has printed a shipping label for the shipper but most times a person shipping things you buy online will print the shipping label from their own printer and purchase the shipping from online since it's cheaper to purchase postage online.
It doesn't always mean that the USPS has your package but it will update to accepted by the USPS or something similar stating that the USPS has it in it's possession.
USPS tracking isn't all that reliable so don't expect too much out of it but it's pretty good.