Cochineal (carmine) is a red coloring is made from small cochineal insects that live on the prickly pear cactus, traditionally from South America. It is used to dye fabrics, cosmetics, and foods and beverages. It can be labelled as a natural, rather than artificial, coloring, but in the United States it must be declared on food/beverage labels.
Cochineal is no longer used to color Campari in the United States, but it is used in Bruto Americano and Leopold Aperitivo, among other beverage products. It appears that in some countries, Campari may still contain cochineal coloring [link].
In the United States it is labelled as cochineal or carmine, but in other countries it may be labelled as E120 [link].
The US FDA states, "Because of potential allergic reactions in some people, carmine/cochineal extract are required to be identified by name on food labels." [link]
The agency further states, "Carmine and cochineal extract shall be pasteurized or otherwise treated to destroy all viable Salmonella microorganisms." [link]
It appears this law was put into place in 2011, so older bottles may not have this labelling.
Cochineal can cause reactions from mild hives and itchy skin to anaphylactic shock in certain people. This is why the law in the US changed to require labelling when it is in food or beverage products.
Cochineal/carmine is made from insects, and is thus unsuitable for vegetarians.
"The Secret to That Bright-Red Drink? Little Bugs" New York Times [link]
"Bug-Based Coloring Makes a Comeback in Spirits" [link]
"Campari is Made Differently Around the World: Cochineal, Coloring, ABV, & Eggs" Alcademics [link]
A Perfect Red by Amy Butler Greenfield [link]