The woman on embarressing bodies in fact has larger labia than average (although it is still perfectly normal) and most peoples in fact are smaller than their labia major. They come in a range of shapes and sizes depending on the women. You may very well just have very small labia - or you may not be 100% sure what you are looking for.
They don't really do a huge amount - they just cover your vagina presumably to stop dirt etc entering. You shouldn't worry about it, all women are different. If you are geuninely worried you can visit your GP (they've seen everything before, so you don't have to be embarressed) but in all honesty as far as I'm aware they perform no vital function.