As the error message states, the method used to get the F score is from the "Classification" part of sklearn - thus the talking about "labels".
Do you have a regression problem? Sklearn provides a "F score" method for regression under the "feature selection" group: http://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.f_regression.html
In case you do have a classification problem, @Shovalt's answer seems correct to me.