Did you open Kontakt Player in Sibelius to see if the sounds are triggering there?
re multiple instances of Kontakt Player / VDL: the main idea is to have enough "slots" to account for everything in the score. Each instance can only have 16 patches loaded. Once that threshold is reached, that is when another instance is needed. Small score, few instances; large score, more instances. i would just add more instances as the score requires it. (Or swap to a Playback Configuration that has more.)
Keep in mind, if all you have is, say, 10 instruments in a score, you just need one instance of VDL. Having more instances beyond that will just use up more computer resources to have them around. Although, this is really just an issue on less-than-beefy computers.
Labeling them is not needed, since Sibelius will load patches wherever it sees fit. Once you get everything setup and running, you'll find yourself very rarely looking inside those instances.