Same here in my LucidChart.  The option is available but nothing happens. :( 

change shape option is not available when I try to change a shape please look at the image bellow 

Hi Jeffrey Sandy and John thank you for posting in the Lucid community! Our sincere apologies for the delayed response on this thread - I wanted to follow up in case this answer may still be useful to you and to provide a solution for other users who see this thread in the future.

The Change Shape ability is limited to several basic shape libraries in Lucidchart - the "Flowchart" shape library and "Shapes" shape library that are included by default in every new document as well as the "Mind Map" shape library. 

It is unfortunately not supported for other shape libraries including ERD shapes indicated by the grayed out option in the menu. However we are always looking for ways to improve Lucidchart and the best way for us to do that is with your feedback. We highly value your experience and would love to hear more about your use case details in this feature request form. Our development team reviews these requests when considering improvements to the product. Apologies for the inconvenience and thank you for your requests! Please let me know if you have additional questions below. 

John regarding your specific screenshot - it does appear that your specific shape is part of either the "Flowchart" or "Shapes" shape libraries. If this is the case and you are still experiencing this issue please let us know using this form and we'd be glad to take a closer look.