Page titles are changed when viewing the page (not on the edit screen). Hover your mouse over the title, and a T in a box will appear. Click on it to get a wizard for changing the page title.
In Zen, only section content is editable using the editor. All other functions are available on the toolbar when viewing the page.
It will appear next to the page title, for example:
If you have page titles turned off, the T will appear in the top left of the uppermost section in the main column:
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