Do comfort fans under 125w need an energy label?

There is presently no label for comfort fans.

However, this is an option being presently discussed in the revision of the Regulation (EU) 626/2011 regarding the energy label for air conditioners.

More info here.

^{Disclaimer: Please note that the European Commission cannot provide a legally binding interpretation of the EU legislation, as this is the sole competence of the European Court of Justice. Any remarks from the European Commission services are without prejudice to the position the Commission might take should related cases arise in a procedure before the Court of Justice.}