1. You are creating a random object in the middle of nowhere.
2. You are not setting its layer.
3. You are not parenting it to anything, and then you add a label to it. Since it's not parented, it forces NGUI to re-parent it to the first valid panel. All NGUI objects must be underneath a panel.
So to fix it:
Use NGUITools.AddChild or NGUITools.AddWidget, specifying a parent object right away. All 3 problems disappear.