Due to some limitations on the default printer settings on the Mac, there a couple label sizes that need to be customized. They are:
Rollo Labels 2 1/4 x 1 1/4
Zebra Labels 2 1/4 x 1 1/4
Here's a video on how to customize the labels. The video demonstrates Rollo printer, but the same principle applies to the Zebra printer as well.