I noticed that in a (Delphi 10.3.3 32-bit VCL app on Windows 10 64-bit) application that the caption of a label would not display if the string was "really" long. Further testing indicates that it is not restricted to a TLabel. TStaticText also behaves the same way and probably all of the TGraphicControls.
With a TLabel on a form, testing indicates that it will show the caption if it is 43,679 characters in length. But any longer and the caption disappears. No combination of autosize, wordwrap, EllipsisPosition changed this behaviour. Tracing through the delphi code, it comes down to 2 statments in VCL.Controls:
Perform(WM_SETTEXT, 0, Buffer);
Perform(CM_TEXTCHANGED, 0, 0);
Buffer holds the correct value of the caption's string in all cases. But at 43,680 chars the caption disappears. So it appears to be a Windows limit but I cannot find any confirmation of this.