If I right click on a bookmark in my shortcuts, there are no options to modify it. Usually in other operating systems, you can change a bookmark with the right mouse button.
(The only way I found out to modify them is via the main menu.)
It seems like that behaviour was never been implemented in Firefox on OS X.
See this bug report.
But you can use Command ⌘+Shift ⇧+B to get to the bookmarks menu and there you can edit all bookmarks by right-clicking.
If you select 'Show All Bookmarks', the Bookmark Library will open. You can then right-click there and change.
You are quite right in that you cannot right click a menu item in OS X and have it perform a secondary function (not in any of the major browsers anyway).
So the quick way to achieve what you want is - Shift-Command B to bring up the Bookmark Library.