Update: I found Ron Aronsons' post for 3100 newbies about changing the label for the LCD key:

"TO CHANGE WHAT IS ON A SQUARE BUTTON: (you can only scroll through what is already there, you cannot label them like the label buttons, and you have to do it before you learn a command on it-if you have learned a command on it, press and hold DEL/press the button, and the command will be deleted): When in the learn mode, press and hold either the hard component button or the device label in the upper right hand corner next to the power button, then press the key repeatedly until the label you want appears. Release the component button, it will flash, and then you are ready to learn." ( [Link: remotecentral.com] )

From the above info I figured out what I was doing wrong.