There is a way to set the label value directly with
sudo xattr -wx com.apple.FinderInfo 0000000000000000000C00000000000000000000000000000000000000000000 /Applications/Utilities
This will set the label to red.
For other labels
To clear the label again, either use
0 as a value or run
sudo xattr -d com.apple.FinderInfo /Applications/Utilities.
Caution: This will wipe out any other FinderInfo value there might be set for the target file/directory already. For the Utilities folder this shouldn't be an issue but it might for others.