I get labels for both axes (
0.8.2.dev). If you want to change the labels (so not using the column labels), that is off to matplotlib.
In [53]: x = np.arange(-pi, pi, .01)
In [54]: df1 = pandas.DataFrame({'sin': sin(x), 'cos': cos(x)}, index=x)
In [55]: df2 = pandas.DataFrame({'x^2': x * x, 'x^3': x * x * x}, index=x)
In [56]: ax = df1.plot()
In [57]: ax.hold(True)
In [58]: df2.plot(ax=ax, secondary_y=True, style='--')
Out[58]: <matplotlib.axes.Axes at 0xc0f554c>
See
screenshot for the plot.