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I was hoping multiple labels on wires would allow using different physical and logical names for the same signal (e.g. "net42" to match a different schematic on "the other side" of a connector, and "PWM" for the logical signal).

KiCAD allows this (http://docs.kicad-pcb.org/4.0.7/en/eeschema.html#connections-wires-and-labels):

Note 4:

If two different labels are placed on the same wire, they are connected together and become equivalent: all the other elements connected to one or the other labels are then connected to all of them.

Unfortunately, when I try to extract the signal names for each pin of a specific component, it seems only the label that has been used first is used in the netlist.

I was hoping to get information about the additional wire name(s) from the netlist (i.e. a list ["net42", "PWM"] or a combined string like "net42, PWM"), but it seems I have to limit myself to one label in order to have that info show up in the netlist?

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That is correct. The netlist exporter for all netlist types selects a single, best (i.e. first) netname from the labels. If no label exists, it will call it "NET-XXXX" where XXXX is an incremental number.

If you wanted to have multiple names, I would suggest you use a global label of "net42_PWM" or a similar concatenation. The naming priority goes: global, local at higher hierarchy (close to the root sheet) and finally alphabetical.

If you have two local labels "net42" and "PWM", just attach a global label to either net with the concatenated name.

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