Yes when... When I designed search for store front ends, and when the search was made from outside a known category, or otherwise we needed to disambiguate the query, we showed 1-4 products per category, ranked with the best* results first. We then showed the category as a headline for the "group result" (for a visual example, consider the TV category here), allowing the user to drill down into this category.
No when... We winnowed the search logs a lot to identify popular search terms. Sometimes the query would be really unambiguous, such as a particular product name. Then we skipped showing "group results" and just listed out the product in its various colors, for instance. We then also skipped the category naming.
The design was considered a success and the store won "e-commerce site of the year" or similar in Norway, if I remember correctly (It was all the way back in 2006). We felt the search fulfilled expectations.
To summarize, we only used section titles when we needed to disambiguate. So no, in my experience an ordered list should not always have a section title or label.
* What is "best results"? By default we ranked the results in this fashion:
rank = r × p × a × m
r is technical relevancy,
p is sales performance,
a is availability and
m is product margin.
Each factor has a damper applied to it so that we could tweak how much each factor impacted the overall result.