CMultilabelSOLabels class modified along with unit tests to remove memory leaks

Valgrind output for 
```valgrind --leak-check=full ./shogun-unit-test --gtest_filter=MultilabelSOLabels.*```
is : 
```
==4314== HEAP SUMMARY:
==4314==     in use at exit: 0 bytes in 0 blocks
==4314==   total heap usage: 55,562 allocs, 55,562 frees, 3,584,140 bytes allocated
==4314==
==4314== All heap blocks were freed -- no leaks are possible
==4314==
==4314== For counts of detected and suppressed errors, rerun with: -v
==4314== ERROR SUMMARY: 0 errors from 0 contexts (suppressed: 1 from 1)
```