This is the same issue as seen in slider always has default width or "Slider always has default width".
You need to put that label into a table and add the right size to the cell of the table where the label is.
UI widgets do not set their own size and position. Instead, the parent widget sets the size and position of each child. Widgets provide a minimum, preferred, and maximum size that the parent can use as hints. Some parent widgets, such as Table, can be given constraints on how to size and position the children. To give a widget a specific size in a layout, the widget's minimum, preferred, and maximum size are left alone and size constraints are set in the parent.
Source: From the libgdx wiki Scene2D
The solution:
Label label = new Label(reallyLongString, skin);
label.setWrap(true);
label.setWidth(100); // or even as low as 10
table.add(label).width(10f);// <--- here you define the width