Microsoft says that the Office desktop Windows apps will have native support for Office 365 sensitivity labels in the second half of 2019. Native support means that users won't need to install the Azure Information Protection (AIP) client to apply labels. However, if they want to continue using the AIP client (because it is more functional), they need to deploy a system registry update.
https://www.petri.com/native-support-office-365-sensitivity-labels
