If you downloaded the entire US database and created your favorites list from there, all the Agency and Area Command dispatch names should already be named. If you created your own favorite list by entering in all the data yourself, you would need to enter those also.
This is a good video also showing how to do your favorites list, ignore the entire first half. The second half focuses on the favorite list programming. Also, notice everything is already named from the database that was downloaded and this is how it will look in your radio.