The only way I've found to do this is to edit the XML file that stores the name directly. It should be at
# cd /data/data/org.adwfreak.launcher/shared_prefs
APP_CATALOG_1.xml APP_CATALOG_Index.xml adw_ex_preferences.xml
# more APP_CATALOG_Index.xml
<?xml version='1.0' encoding='utf-8' standalone='yes' ?>
<string name="GrpName1">First Group</string>
Edit the value within the
GrpName# tag that corresponds to the group you want to rename and then restart ADW Launcher. AFAIK there's no way to do it in the ADW UI itself (aside from deleting and recreating it, but that's inconvenient, too).