In OSX it's pretty easy to add shortcuts to apps in the Keyboard System Prefs, but in KM there are two different "Rename..." commands – one to rename the macro, one for the action.
If you want a key command for specifically "rename action", use this in System Prefs > Keyboard > Shortcuts > App Shortcuts:
The exact text in Menu Item is:
Actions->Rename…
The interesting bit is that Actions-> specifies to look in the Actions menu.