Ah, well, I was trying to consolidate all management of keysets to a single screen, which is currently accessed by the "Select Keyset from List" option in the drop-down menu. (And yeah, I need to get this into the documentation!) If you go to that list, you can hit the "Only Show Favorites" checkbox to pull up your favorites, and from there, click on one of your favorite keysets. At that point, a dialog box pops up that gives you the option to remove it from the favorites list or change its nickname.