I see these labels used and was wondering what exactly they mean?
These are the British names for different grades of granulated sugar.
Castor/Caster Sugar is a granulated sugar with crystals around 0.2mm in size. It is equivalent to Superfine or "Baker's" granulated sugar in the US.
Icing Sugar is granulated sugar that has been pounded to a fine powder (50μm grain size), sometimes with starches added to prevent caking up. Confectioner's Sugar the same as Icing Sugar, and either is called Powdered Sugar in the US. Some sources will tell you that the difference between the names is whether starch is added or not, but no brand consistently makes that distinction.