Transpose

You might be in note entry mode, or maybe edit mode, so hit Esc (or click into a blank area of the score) before you click the Transpose button.

A common mistake is to have some random object selected, like the title, or a fermata, when you go to Tools / Transpose - that won't work indeed. Either select some actual music to transpose - anything from a single measure of a single staff to a whole score - or make sure nothing is selected, in which case the whole score will be.

If you want to have the whole song transposed, do this:
Ctrl A (or Cmd A) -> Tools -> Transpose
From there you can pick which key