Fix missing shade label in kdeplot

Here's a small fix:
The `_univariate_kdeplot` function doesn't set the shade label, which causes problems down the line when using labels for automated grouping. An example of such a problem is provided in [this notebook](http://nbviewer.ipython.org/urls/dl.dropbox.com/s/28s4ip4g63opmqi/Issue-seaborn-mpld3-legend.ipynb?dl=0). 
It uses `mpld3` (latest development version) to create an interactive legend, which toggles the transparency of plot elements by clicking on the corresponding legend item. The function `connect_sns` in the notebook relies on labels to connect plot elements to legend items, and clearly does something strange since the shade does not have a label.