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I don't believe that you can change the name of systems currently. To change the name of a planet you have colonized, select your planet and go the the Planet tab and select rename, which should be next to "Leader" under the Governor display box. To change the name of fleets and armys, select them in the right outlier and go to the "Fleet" tab and look for the ship icon next to the names of your ships, Click X or Square, if you are on PS4, and that will allow you to rename them.