Man, it took me an hour to find out how to do this. Searching “Change Key” etc doesn’t do it. I was going nuts.
It’s done with the System Bar, which is the way to make global selections for any region or range of bars. Once the System Bar is activated for all the bars, the next step is to click the little square in the System Bar, which lights up everything in the score. Then do the transpose dialog (use the Jump Bar to open it). It’ll transpose everything, including the chords - but it won’t generate key signatures for you, which you might want for a series of modulations. Go in and create your new key signature afterward.
I’m gonna link myself…
Arranger for Hire
Sorry you could not find instructions 
The User manual
https://www.steinberg.help/r/dorico-pro/5.1/en
is reasonably forgiving (various metadata terms tagged) but it is an on-going process.
You might have had better luck using “transpose”? as “key” could result in a number of different results and “Key signature” would not be what you would be wanting either.
I am not sure doing a transposition of a section of notation should automatically create a key change, were you expecting an option with this process?
I was searching both, along with change key signature…
The thing for Finale users, if you change a key signature after writing a section, it transposes everything following, or just the selection if it’s multiple bars, even asks you whether up or down… the key sig is the driver. In Dorico, those elements are not linked as entries, despite things being respelled beautifully when the new key signature is added.
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Thank you for your explanation
When you change a key in Finale, you have lots of options of how to handle subsequent notes:
You can also use the Shift+I popover, where syntax like tm2 would transpose up a minor second. Or, if you aren’t transposing too far, you can just use Alt+Shift+Up or Down arrow on the notes to transpose chromatically up or down. Here’s a gif of the latter:
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Personally, I would hate it when Finale transposed something down a minor third just because you were copying from C major to A minor. But I digress…
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OT: @FredGUnn, your example tempts me to reply: “So What?” 
But then, that would be a bridge too far.
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Heh, I was just trying to think of something with a simple 1/2 step transposition so that seemed like an obvious choice!
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This is one of several differences in key concepts (sorry) that Finale switchers need to know before working on real projects. The other biggest one is how notes are not locked into measures, which is new even for Sibelius users.
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How did Dorico know it’s minor? Lower case eb?
Exactly.
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Yes. Also, if that number of flats is beyond your theory, you can type 6b.
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