ShareGate Migrate does not support Sensitivity labels directly.
While your sensitivity labels are preserved during a migration, you can experience various issues.
The main issues are the following:
Migrating to a different tenant, your user can lose access to the document at the destination.
Mapping your user, the new user will not have access to the document at the destination.
Suppose your users cannot access their documents with sensitivity labels applied at the destination. In that case, you can just tell them to try to open these documents with their original Microsoft user account from the source.