First of all, you're using room objects to display these labels? That's a bad route. A GUI is much better suited to do this.
Objects are meant to represent stuff in a room that's apart from the background but still part of the game world. They should never be used as part of the UI.
(One simple reason is that you have to recreate the object in every new room while you'll only need one GUI total.)
To answer your question: the mouse cursor is always on top of everything else, no exception.
To solve this problem, provided you're using a GUI for the labels, use another GUI with a lower zOrder to represent the mouse position/cursor.
We can help you with coding that, but first you should ditch using objects for UI labels.
Are you using one object per room that contains all the labels and turn it on/off?
Objects are meant to represent stuff in a room that's apart from the background but still part of the game world. They should never be used as part of the UI.
(One simple reason is that you have to recreate the object in every new room while you'll only need one GUI total.)
To answer your question: the mouse cursor is always on top of everything else, no exception.
To solve this problem, provided you're using a GUI for the labels, use another GUI with a lower zOrder to represent the mouse position/cursor.
We can help you with coding that, but first you should ditch using objects for UI labels.
Are you using one object per room that contains all the labels and turn it on/off?