The setName method, as the javadoc implies (see com.google.gwt.user.client.ui.HasName) only modifies the html attribute called name, not the label.
Take a look at form examples http://www.sencha.com/examples-dev/#...e:formsexample and associated source - wrap the field in a FieldLabel before adding it to its parent:
Code:
Slider slider = new Slider();
slider.setMinValue(40);
slider.setMaxValue(90);
slider.setValue(0);
slider.setIncrement(5);
slider.setMessage("{0} inches tall");
p.add(new FieldLabel(slider, "Size"), new VerticalLayoutData(1, -1));