If you export all of your backed up Gmail data in a single export, the individual labels on those email messages will not be retained.
If you need to retain the label structure, instead of performing a full Gmail account export, you should export each Gmail label individually. Here's an example of how to do that:
*Export a Gmail label using Spanning Backup
*Download the exported data using the download URL from the email notification
*Use your archiving software to extract the contents of the dowloaded file (you should be left with a .mbox file)
*Create an empty email folder in the local email client on your computer
*Import the exported .mbox file directly into the local email client
*Choose the newly created folder when asked where you want to import the data
You'll need to repeat those steps for each Gmail label that you're wanting to import into the local email client on your computer.