I always do so because to me it feels nicer; it implies an action will happen on click. Especially for radio/checkbox labels, where the
for attribute is correctly used.
Just today I thought about the same thing, and to me it just feels right to use pointer on checkboxes. "Nigel NormalUser" who isn't so into using software, doesn't see it obvious, that you can select the checkbox with the label. And having the pointer there when hovering could maybe make it more known for the common user. So I would say yes, it should. For usability and clearance to those who don't know that you can select by clicking on the label.
The pointer cursor is simply an indicator of "clickability" (affordance). There are numerous ways of indicating to the user that an element can be clicked on, and the pointer is just one of them.
The pointer is especially useful when the element being clicked on doesn't change on mouse over. Default link styles in a web-browser don't change when the mouse is hovered over them, so the pointer is necessary to indicate to the user that the element can be clicked on.
I'm currently using Windows 7, and the icons on the desktop don't cause the pointer to change when hovered, instead the icon changes to indicate that it can be clicked on:
If you feel that additional cues would be helpful to inform the user of a possible interaction, there is no harm in changing the cursor to the appropriate type. For example, the "help" cursor is often used on