Is there a way to make multiple label requests in one go?

No, not at the moment. Xentral will always make one request with one label.

Custom fields? Additional fields?

Custom fields are supported when configuring the Shipping Method. Those fields are not adjustable when creating the label. To see how to add custom fields to the Shipping Method see Registering the carrier service

Does CISC work with Connect, and how can I do this

It is possible to use Connect to build a Carrier Integration Service, but we don't have any example project available at the moment.

Is there an example project that displays how to build a CIS?

Yes there is! Please visit the Github repository or go to https://carrier-integration-service-example.xentral.com