In short :

• Use Net labels to names the nets or connection on the same sheet.
• Use Global labels to make global connection, across different sheets.
• Hierarchical labels works only with Hierarchical sheets. It connects to the Hierarchical sheet outline, where the labels can be imported from the underlying schematic.
• Net Class directive label is used to assign Net Class to particular net, which can be used during routing in the PCB editor. Here is a video explanation about it (which also contain the explanation for Net classes)

  Currently we don’t have a video explaining Global and Hierarchical label, so please take a look at KiCad documentation.