In Wolfram, Plus (+)
has no such functionality to concatenate two strings like that in Python. If you must find a counterpart, it should be StringJoin (<>)
.
However, one can directly typeset in Wolfram codes (which is seen more clearly in the figure below):
info = Range[8, 14];
ListPlot[info, Frame -> True, FrameLabel -> ({"Time [\[Tau]/\!\(\*SubscriptBox[\(\[Alpha]\), \\(e\)]\)]", "MSD [\!\(\*SuperscriptBox[\(nm\), \(2\)]\)]"})]

Though there is some confusion in the exact letters being used, the format is the same.
Update
I realized that the stack exchange code environment cannot reflect how the typesetting is accomplished, so I made the image posted include the part of codes. But it seems not enough. It still might lead to the situation that the codes posted above let people think it somewhat troublesome to type.
Actually, it is not, as long as one knows some typesetting shortcuts in a Mathematica notebook. For example, Esc + t
+ Esc gives one a $ \tau $ and Ctrl + -
/6
allows one to type a sub/superscript, etc. For more, please check this page Mathematical Typesetting.