Tires, although shaped like donuts, are not donuts. Unlike donuts, which are usually served fresh, tires have to be shipped, expedited on transport and then sit in warehouses up until its new owner adopts them. That process can take a few weeks or a few months. In addition, during the manufacturing process the tires are coated with a release lubricant to keep them from sticking to their molds. That said, some of this lubricant stays on the tires up until they're worn off so you really do need to break in tires in order to get the full traction. Do keep mind some tires take up to 500 miles for proper break in and to experience the full potential of the tire.
My new tires feel sloppy.
Much in the same way it's quicker to comb through Bruce Willis' baldhead over one with a mountain of hair ... kind of like Fabio, the same holds true for tires. The reason older tires feel more responsive is because there's less tread left. On the flipside, tires with the full amount of tread may not respond as quickly and feel skittish at first. It may even feel unresponsive even if you replaced them with the same model of tires but that's just because you now have tread.
Can I drive off with the tire labels/sticker still on?
Would you leave the store with your size stickers on your jeans? To be honest you probably could but we wouldn't recommend it. The bottom line, you will already have traction issues while breaking your tires in so why make it worse by having stickers on the bottom of your tires. Besides, it looks cheesy driving down the freeway with your stickers flickering as your tires spin.
My gas mileage is worse on these new tires
It's just like dating. It's more expensive in the beginning and it just gets cheaper if you hang in there. In general, new tires may decrease your fuel efficiency because of the increased tread depth on the tires. As a general rule of thumb, as tread depth decreases, your rolling resistance decreases thus creating less work for the motor. In short, your gas mileage will get better as your tire wears.