You can edit a tag from two places:
Lead Info Page:
Go to the lead’s info page, hover over the tag name, and click the ellipsis (⋯) that appears. Then select the Edit option.List View (People/Company/Pipeline):
In the Tag column, click on a tag. A tag list will drop down. Hover over the tag you want to edit, and click the ellipsis next to it to access the Edit option.