Labels are useful for recording,, mixing and marketing. They are not just factories of CDs. Artists may manage without them but it is quite complicated as it costs a lot.
Side ramble: I've never understood why people paint "real" bands as being lo-fi, guttural, punk and romantic. It's a goddamn privelege to afford all that equipment. Here's your true punk: pirate Ableton and upload a tune to YouTube for free.
Back to the point, for a lot of styles, the only point of a label is marketing. But this can be a very useful tool -- even just acting as a quality filter is useful.
I know people doing electro, and they pay people to do this job. It is really hard to do it correctly.
Even people like DeadMau5 and Daft Punk do not do the mix/master by themselves. They just monitor the people doing it (look at some of their interviews).