pull request labels are not passed after merge

Question

Currently, in my GH repo, I'm working with the main branch and feature branches. Each PR has a label set and when I'm merging the PR I can see it listed in the changelog under the relevant section. For example, PR with the label bug will be listed under the Bug Fix section.

I wanted to test something else, to work with the develop branch so the flow will be: feature-branch>develop>main. The changelog for the develop branch is listing everything as it should, however, when I merge the develop branch with the main branch, I'm losing all the labels and the changelog displays those PRs as unlabeled.

Any idea what should be the correct/right/working process here so the labels will be kept here?