Currently, there is no ability to set the "page labels" with "Direct to PDF".
It would be a useful if when XPP is creating PDFs via 'Direct to PDF' if it could make use of the Page Labels feature.
That ability to adjust Page Label is available when creating PDFs via Distiller.
Page Labels allow the user to adjust what text is seen in the toolbar when viewing the PDF.
For example, for the third page you may want to display "iii" or maybe "Introduction"