Its not very straightforward but highlight the MIDI or MIDI parts that you want to change the name on and then click in the upper left hand corner. You can mass rename or just rename a single part. I took a screenshot for you here:
Theran
It's not very intuitive, thats true. But if you (using the picture above as example) alter the text 'MIDI 1' (where it is in the picture) and you press shift+enter, it automatically renames the midi events in that track.
