I have two new emails from someone I've not corresponded with before but will in the future. I just made a new label for that person. I went to settings and created a filter. Theoretically my label should only have two emails in it. However, there are over 3,000! from my ALL MAIL. I have no idea why. If I delete the new label, will I be deleting all 3,000 emails from ALL MAIL?
Deleting a label does not delete any emails. They will remain as they are, except will no longer have that label.
As for why you got 3,000 messages labeled, there is no way to tell.