First, if the watch learned your motion on watch, you must change the associated name for the motion, so that it will auto recognize correctly in the future. On watch, Settings->Edit Motion, pick the exercise, and click Rename. 

Second, change exercise log history for all logs with the old name. Find a log entry in the Activity tab on phone, click the entry and change the name. When saving, phone will ask you if you want to change all log entries, answer yes.