I'm no expert in this field but I've used the "Knife Project" for this sort of thing as distinct from "Knife". i.e. call upon the "Mesh-->Faces-->Intersect" then the knife project function to cut a hole in the bottle and in the shape of the intersecting object which would be in this case a cylinder.
You might be having the trouble I did and not using the Ortho view to make sure you're looking dead straight onto the bottle when you cut the hole. The safe way to view exactly perpendicular to the bottle is to use the numpad's Home, END and PgeDn keys to set your viewpoint. If you're just a fraction out, your hole won't be shaped or aligned correctly.
It's also essential that the bottle be aligned exactly with the X/Y axis so your hole goes through in perpendicular fashion. You can set this in the bottle's Properties panel at right. Open it's Transformation tab and see that it's Z "Rotation" axis is set to exact multiples of 90 degree segments. i.e. 90, 180, 270 or 0 degrees, no fractions. These figures can be typed in to get exact alignments.
The X/Y rotation numbers should be at zero, and if not, then in multiple of 90 degrees.
Once a hole is there, extrude it's vertices to the depth you want into the bottle, then close the inside base of that hole up and texture that surface with the label itself.
(Save each attempt in progressive Blender files so you can come back and redo if necessary)
I've only just started using the "Boolean" function and found that a relatively easier method of cutting an intersecting hole than the knife project, so you might like to try this first.
As for the Cherry bottle, you'd have to fashion an object to the shape of it's label first then extrude it so you've got a sort of 'drill' or punch, and proceed as with the circular label.
If you still can't manage a circular hole, get back to us here with a comment. It's simple enough but you have to stick to some rules.
PS: is it essential to indent the labels? You can't just "Paste" them on?