To change the name you must edit an existing review cycle. Navigate to 'Admin > Review Cycles'. Here you will see all the reviews you have created so far.
From here select which review you'd like to edit. You'll then see the following screen:
To edit the review click the 'Edit Cycle' button as highlighted above.
To rename your cycle click on the review name as shown below
The review name will turn green indicating you can edit it.
When you're finished renaming the review cycle, click the button titled 'Save Changes', as shown below.
Learn more about 'Review Cycles' here.