No. All it does is remove the label from the messages.
Yes, you can apply any number of labels to a message: Select the message in your Inbox, or open it, and select one or more labels in the Labels drop-down list at the top of your Mail window.
Gmail supports a maximum of 5,000 labels, including sub-labels. However, if you have more than 500 labels, you may find that your Gmail experience is slower.
Instead of folders, Gmail has a "labels" feature. Labels are similar to folders, but are more powerful and flexible, because you can add multiple labels to a message to categorize it in several ways. For details, see the Gmail Help Center.