Another possibility is to write a class:
public class DraggingLabel extends Label implements WidgetContainer
...and implement all the additional methods of WidgetContainer mostly empty and pass an instance of it to the Frame's constructor.
But the cheapest solution would be (as mentioned above) to subclass e.g. Label and override the methods setLocation(Tuple2f), onMouseButtonPressed(int, int, int, boolean, boolean), onMouseButtonReleased(int, int, int, boolean, boolean) and onMouseMoved(int, int, boolean, boolean) like it is done in Frame.
I'll see tomorrow, if I can add such a support directly to any Widget.