Double-clicking on the label will turn it into an edit box that allows you to set labels.
When I double click on an address in the transactions list (bitcoin-qt) I get a "transaction details" box but this gives me no chance to edit the label of the address.
If I double click a label in the sent coins or receiving lists then I can change it (new to me) so thanks for this.
The main problem of adding labels to addresses which are mentioned in the transaction list but do not appear in the sent coins or receiving lists remains.