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Hi, To my knowledge, there is indeed no axes label fonctionality for 3d plots. For the SageManifolds project, we set up some workaround function that uses text3d to set labels at locations determined from the bounding box of the graphic object. Here is this function:

def set_axes_labels(graph, xlabel, ylabel, zlabel, **kwds):
    r"""
    Set axes labels for a 3D graphics object.
    This is a workaround for the lack of axes labels in Sage 3D plots; it
    sets the labels as text3d objects at locations determined from the
    bounding box of the graphic object ``graph``.

    INPUT:

    - ``graph`` -- a 3D graphic object, as an instance of
      :class:`~sage.plot.plot3d.base.Graphics3d`
    - ``xlabel`` -- string for the x-axis label
    - ``ylabel`` -- string for the y-axis label
    - ``zlabel`` -- string for the z-axis label
    - ``**kwds`` -- options (e.g. color) for text3d

    OUTPUT:

    - the 3D graphic object with text3d labels added.

    EXAMPLE::

         sage: g = sphere()
         sage: print g
         Graphics3d Object
         sage: show(g)  # no axes labels
         sage: from sage.manifolds.utilities import set_axes_labels
         sage: ga = set_axes_labels(g, 'X', 'Y', 'Z', color='red')
         sage: print ga
         Graphics3d Object
         sage: show(ga)  # the 3D frame has now axes labels
    """
    from sage.plot.plot3d.shapes2 import text3d
    xmin, ymin, zmin = graph.bounding_box()[0]
    xmax, ymax, zmax = graph.bounding_box()[1]
    dx = xmax - xmin
    dy = ymax - ymin
    dz = zmax - zmin
    x1 = xmin + dx / 2
    y1 = ymin + dy / 2
    z1 = zmin + dz / 2
    xmin1 = xmin - dx / 20
    xmax1 = xmax + dx / 20
    ymin1 = ymin - dy / 20
    zmin1 = zmin - dz / 20
    graph += text3d('  ' + xlabel, (x1, ymin1, zmin1), **kwds)
    graph += text3d('  ' + ylabel, (xmax1, y1, zmin1), **kwds)
    graph += text3d('  ' + zlabel, (xmin1, ymin1, z1), **kwds)
    return graph