Change the key photo in a live photo on Photos app on a Mac

That depends on your system version on your Mac.

In Photos 3.0 on High Sierra you can change the key photo directly, in the older versions of Photos you cannot edit the Live Photo and select a different Key photo.

In Photos 3.0:

• select the Live Photo, view it enlarged, click the Edit button.
• In the Editor make sure the selector in the lower left corner is set to "Live".
• Drag the slider to select a different still frame, then click "Make Key Photo".

That is a pity. Photos has been improved in several ways on High Sierra.

On Sierra, you cannot even use the new space saving file formats HEVC and HEIC, that the iPhones with iOS 11 can take.