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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