It makes a click on the label focus the input element it is for
.
In the example you posted, you simply click on the word Male
or the radio button in order for it to get selected. Without this, you have a much smaller target to click...
If it's needed then is there some equivalent in HTML 5 or is it the same?
It is not required, but is good practice for labels that have a direct form element to focus on (it wouldn't make much sense for a label that doesn't have a counterpart on a form).
The syntax is the same for HTML 5.