No, I don't believe that's true. I've just tested the following and it works fine:
relabel_configs:
- action: labelmap
regex: "(__address__)"
replacement: "dummy$1"
Metrics now have an extra "dummy__address__" label.
What I suspect is happening here is that the OP is using relabel_configs when they should be using metric_relabel_configs.
* relabel_configs is applied *before* the scrape takes place. It can therefore only affect labels which are returned by the service discovery.
* metric_relabel_configs is applied *after* the scrape takes place. It processes all the metrics returned by the exporter, and therefore can see labels which the exporter itself has generated.