I generally don't acquire any items with pricing labels directly on them, so this isn't an aspect I usually experience. For modern items with pricing labels, they are removed. For older items, labels remain, and especially so if the labels are from independent or defunct stores.
For sales receipts, they are also kept. Sales receipts allow me to look back at an item and have a clear indicator as to my history with the item—when? and where? are certainly answered, but sometimes why? can too just by reading the receipt's information. I like preserving my own personal history with the items in my collection.
Straying off a little off topic, this is also why I keep records of when I play games. By doing so, I'm able to recall a lot of different aspects of my life during that moment, whether it be types of games I was interested in to more personal recollections such as who I was as a person. More information of any kind allows for memories to stay fresh.