When you are doing a three-channel (RGB) density plot, each dataset is assigned a colour channel to which it contributes. A representation of this is displayed in a button to the right of its name in the dataset selector panel at the bottom of the density map window. If you click this button the following dialogue will pop up which enables you to change the colour channel
Style editor dialogue for density map
The Label text box allows you to set the name which will be written in the plot's legend to label the dataset. By default this is derived from the Row Subset's name and, if it's not part of the main dataset, the name of the dataset's tab.
The Channel selector allows you to select either the Red, Green or Blue channel for this dataset to contribute to. Note that if plotting is in monochrome mode, this setting won't have any material effect on the appearance of the plot; also, the legend icons will appear monochrome in this case.