You have to make sure you use a Horizon client that also supports displaying custom label prompts. So 5.3 or later.
RADIUS authentication login page customization
Beginning with Horizon 7 version 7.11, an administrator can customize the labels on the RADIUS authentication login page that appears in Horizon Client. For more information, see the topics about two-factor authentication in the VMware Horizon Console Administration document.
From Horizon Client 5.3 Release Notes. VMware Horizon Client 5.3 for Windows Release Notes