I think you have to specify a column:
https://documentation.sas.com/?docsetId=grstatgraph&docsetTarget=p03jtr6n56wu4ln1k77szqw1fjkc.htm&docsetVersion=9.4&locale=en
CURVELABEL="string" | column | expression
specifies a label for the reference line or lines.
Requirement
If you use the COLN() or COLC() function in the X= or Y= option to specify multiple reference line intercepts, then you must use the COLC() function in the CURVELABEL= option to specify exactly one label for each reference line intercept. Otherwise, this option is ignored. See GTL Functions Used with the EVAL Function.
Interactions
If the X or Y argument specifies a value, then use "string".
If the X or Y argument specifies a column, then use a column to define the label for each value.
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