You need to disable cyclic focus using the setCyclicFocus method.
mainForm.setCyclicFocus(false);
EDIT: LWUIT scrolling works based on the focus of the current component. So when you press the down arrow, the focus changes to the element below and, if necessary, the Form scrolls. Labels are not focusable by default, so they won't receive focus and the scrolling will not work correctly. To correct this you should modify the label creation.
Label l = new Label("This is label " + (i + 1));
l.setFocusable(true);
mainForm.addComponent(l);
Also, it is really bad user experience to scroll horizontally to read content, so you should forbid horizontal scrolling.
mainForm.setScrollableX(false);
mainForm.setScrollableY(true);
Now setCyclicFocus should work without problems.