The only way I know how to do it is to use the HD Edit program and to save your setlist to whatever name you want it to be then reload it to your HD POD unit. I have a different setlist for different guitars (though I guess I could put them all in one setlist if I really wanted to. I named each setlist for the guitar the correspond to (Gibson, Telecaster, and Stratocaster...simple but it works...
You can also rename them on your device directly. For me, on my POD HD Desktop, i have to press down the Presets knob (dial), so that you are in the Setlists Overview. Select your desired Setlist and press the Save button now. You can rename it.
It's also covered on page 4-2 in the manual (POD HD Desktop - Working with Set Lists).
You can directly change the name in HD Edit (without saving, renaming and loading a set list).
I don't have HD Edit in front of me right now so I may need to correct myself but I think that you just click on the setlist name ... maybe twice: once to select and once to edit. Will check later.
Otherwise, I do as per johanneszab and hurghanico and do it directly on the pod .... easiest for me.
There are 2 ways. Use the Edit Software "Set Lists" view. See page 6-3 of the Edit manual.
Or on the HD500...see page 4-2 of the Advanced Guide, or Quick Guide page 12 (that's pdf page 12, no actual page numbers printed on the sheets).
It also sounds like you have Flash 2.02 on your HD500 because your setlist 5 was overwritten with User 1. Flash 2.1 is the latest, and it provides 5 factory setlists, then 3 User lists. With Flash 2.1, User 1 is in the #6 setlist slot. Edit manual page 6-1 shows a nice full screen look at these 5 factory lists, then the 3 User lists. If I remember correctly, Flash 2.02 had 4 factory setlists, then 4 User Setlists. (I think they added the Bass/Aco/Voc setlist 4 with Flash 2.1???).
Use the Line6 Monkey software to check your Flash Version. Appendix A of the Advanced guide shows how.
Global Reset puts all the set list names back to these factory names. Luckily presets are unaffected.
1 tip...I spent some printing (print on both sides) the Quick Guide, Advanced Guide, Models Guide, and Edit Software Guides, then threw them all in a small binder. Really has helped me to learn this "machine", and gives me a place to write notes. I many times flip thru pages when having breakfast, reading at night, whenever.
Hope this helps...these forums are really helping me learn.