You're quite right, the .NET one doesn't expand itself vertically when you insert linebreaks with autosize on. I wonder why.
Here's a couple of tips though - firstly, don't ever use the upgrade wizard. It is a menace, and a waste of space. It teaches notoriously bad coding habits, and makes use of a special library for functions similar to VB6 ones when you should be rewriting in proper .NET code.
Secondly, if you really need this behaviour you have all the power of GDI+ available for measuring and drawing text, you do not need to use a Label control to achieve the effect.