2 Answers
When you, like in this case, don’t specify a location, it will be created in the current working directory. If you run "ls", you should see bucketlabels.json listed together with the gcp-cloud-engineer folder and README-cloudshell.txt.
If you execute this command from Cloud Shell, the file will be created in Cloud Shell disk at the current working directory where you type the command (Cloud Shell disk is persistent, so you can retrieve this file later if needed).
If you execute this command from your PC (with Google SDK installed), the similar thing happens: file will be created on your PC at the current working directory where you type the command.