To use the colony rally points you need to already have your colonies sending ships to a rally point by the method above. Then you go into the colony governor and you can change from there where your ships are going.
Example:
You set 5 planets to send ships to rally point 1 just to have your ships concentrated somewhere.
You get into war. So you make a new rally point in the enemy territory, rally point 2. So now instead of going manually through all the 5 planets to change their rally points by the method above, you go to the colony governor and click, Colonies sending to rally point 1, then in the other column, rally point 2 and click update rally points.
And it should work.
I hope that helped more!