Yellow labs are pretty shy fish; the activity you saw isn't typical for them. They were probably just a bit freaked out by the new tank, transport, etc.
Mbuna are rock fish, and they like to hide in rock caves and crevasses. They need some cover to feel comfortable. They sound like they're trying to use the corners of the tanks for some cover. Two questions: do you have anything in the tank in which they can hide? (Even some 4" lenghts of 2" PVC pipe can do in pinch.) Also, how big is your tank? Mbuna really need a good size tank.
HTH,
Jim