The First LOOP is defining a point, so the first LOOP is a location. The second statement says, GOTO LOOP, meaning goto the LOOP location. This code is what we call an infinite loop, and in assembly is the proper way to terminate code that only has to run once. Once you reach the end of the code, this is what happens:
LOOP
GOTO LOOP
We jump back to LOOP and continue executing, but the next statement is GOTO LOOP. We jump back to LOOP and continue executing, and so it goes on forever...
We do this because we don't know what's in memory above LOOP, and you could start to do random things ... the program would continue executing and incrementing through memory. This technique keeps the properties of the program known.