The reason you get "The volume label is not valid. Please enter a valid volume label." is that volume labels can only be set on drives with actual media in them.
Volume label refers to a very specific piece of information which is stored in the partition table of a disk drive. Since a card reader with no card in it has no partition table, since a partition table requires an actual storage device, you are not able to set a volume label on a non-existing device.
In Windows, there are two types of disk drives:
Fixed media and
A fixed medium is one that is always available, and cannot be removed. A fixed medium "assumes" that there is always a valid storage medium associated with the drive letter. So if the medium is online and receiving power, it will appear as a drive letter, and have a valid volume label, valid partition table, list of partitions, and the data can be read and written.
A removable medium is one that "decouples" (separates) the concept of "Slot where a disk/card can go" and "Actual disk/card". Removable media do have drive letters even when no "Actual disk/card" is installed in the slot at the moment. The slot has a "media-less" drive letter associated with it, which gives you a familiar error message like "There is no disk in the drive..." if you try to access it while it is not available.
Since your card readers are removable media, you will have drive letters (unless you disable the hardware in Device Manager) for slots that have no media installed.
You also can't assign drive letters like "M2:" or "SD:" because of Windows' limitation on what drive letters can be (just A: through Z:). So you're pretty much stuck with just memorizing the drive letters. Suboptimal, but that's the way it is.
If you're lucky, you might be able to find an enhanced Explorer-like file browser that will list the device name next to each drive letter, but even that doesn't really help: most manufacturers don't give meaningful names to each of the possible slots, or if they do, it's something long and complicated like "Hitachi 800SD-25F SD Card Reader" (made up name but it's similarly long). This information comes from the USB protocol used to communicate with the card reader, and cannot be changed because it is part of the card reader's firmware.