As someone who likes to "sample" everything, I've often wondered this myself. When it comes to philosophies, whether it's religion, politics, raising children or whatever, I would feel like a sheep if I took someone else's packaged beliefs as my own. There are principles of many political parties that I firmly believe in, but not all of them. I'm fiscally conservative, socially liberal and believe that the needs of the people should be put ahead of the needs of big business, so I have NO representation in the politics of my country. My religious beliefs are even harder to categorize.
I think the reason people put these lables on themselves is to seek allies in their beliefs, perhaps because they still are unsure if they've made the right choice.