This should be really simple but I just can't find an answer for this. I've tried this PyQt4 code:

label.setAlignment(Qt.AlignCenter)

But that does not work.

I think the problem may be that the label is centered, but it does not fill the space you think it does. You can verify by changing the label background color. The following example works for me on Windows 7:

import sys
from PyQt5.QtGui import *
from PyQt5.QtWidgets import *
from PyQt5.QtCore import *

class Window(QWidget):
    def __init__(self, *args, **kwargs):
        QWidget.__init__(self, *args, **kwargs)

        self.label = QLabel("Test", self)
        self.label.setSizePolicy(QSizePolicy.Expanding, QSizePolicy.Expanding)
        self.label.setAlignment(Qt.AlignCenter)
        self.label.setStyleSheet("QLabel {background-color: red;}")

        self.button = QPushButton("Test", self)

        self.layout = QGridLayout()
        self.layout.addWidget(self.label, 0, 0)
        self.layout.addWidget(self.button, 0, 1)

        self.setLayout(self.layout)
        self.show()

app = QApplication(sys.argv)
win = Window()
sys.exit(app.exec_())