The error is correct, you cannot set a corner radius on a Label.
What you can do is wrap the Label with a Border and apply your style to that to get the desired look.
EDIT:
The Style Resource:
<Style x:Key="MyBorderStyle" TargetType="Border">
<Setter Property="BorderBrush" Value="White" />
<Setter Property="BorderThickness" Value="2" />
<Setter Property="CornerRadius" Value="3" />
</Style>
The border wrapped label:
<Border Style="{StaticResource MyBorderStyle}">
<Label Content="My Label" />
</Border>