When I log in using the SSO option I do not have the "Change Password" option under the More Actions button on the User Profile page. When I log in using my password, it is there. We have the hybrid SSO set up, so I would expect it to be there for either login, as the users are expected to maintain the user password even if they choose to login using SSO. Is this expected behavior?
If your subscription is configured to allow SSO or Rally authentication and you login using SSO, then the Change Password option is disabled. You should login using Rally Authentication (ID/Password), then this option is available to use.
If you want to change your SSO password, please see your internal IT department for those procedures.