Trello – How to Name a Label

It seems that you don't have the permission to change them.

Try to take a look at the ownership of the board, you should be a co-owner or the creator to be able to have them changed.

That is correct; only cards can be labeled. You're not missing anything. Nor can you (currently) automatically assign colors to newly created cards in a given list, although you could always write something that took advantage of the Trello API to do what you want, if that makes sense for you.