Im not sure if xforms appending an class to the label. But if it does, use css :after selector and by using the content: "*" you can achieve it. Have a look.

No it doesnt give a class - I was hoping for something like that

And by doing this you can also specify other css properties like color etc.

So 

<label class="required">My Custom Label</label>

label.required:after {
     content: "*";
     color: red;
}

Will result in:

My Custom Label [color="red"]*[/color]

Link to demo (JSFiddle)

According to this post EPiServer have a class-field

Take a look http://stackoverflow.com/questions/33138265/clientside-validation-using-xforms-mvc-application