The designer can't read the font off the printer.
You will have to do a few things to the output of the label designer. When you are using the designer, set the font to ZEBRA 0. Update the text fields to use that font or design using that font.
Export the design and add the following (with your Arial file name) somewhere after the ^XZ and before the ^XZ:
Then replace every
in the file. The Label should then work.