I think its a problem the way you are appending to the label.
I will tell one more approch. Try like bellow.
On the master page where you want to show the user name use like bellow
<![CDATA[<%= if(!string.isEmptyOrNULL(Convert.tostring(Session["Uname"])) { response.write(Convert.tostring(Session["Uname"]); } %>]]>
Label mylabel=(Label)Master.FindControl("masterpagelabel")
If you don't want above approach. Try like in your master page load
if(mylabel !=Null)
{
mylabel.text= Convert.tostring(Session["Uname"]);
}
else
{}