It boils down to the fact that this label is not available in the *page scope* when you declare it in the footer. It is only available on the moment the footer is created (somewhere on the end of the Databind() function). By putting the label outside the gridview, it is available in page scope and you can access it everywhere in the page lifecycle.

The modulemessage function, is available on application scope so you can add messages almost anytime, actually for as long as you have a reference to your module, the *me* part.