Short answer: you don't need to.
Longer answer: I'm assuming you've swapped out your EB2 hardware for an R2. In terms of what I/O features the EB2 and R2 have, they're the same (see page 2 of this comparison chart). The R2 also happens to have the ability to run a strategy--but that I/O Unit definition in your strategy doesn't care or need to know that.
Where it WOULD matter (and why it doesn't let you change the type after the fact), is if you were changing from a 2 to a 1 (like EB2 to EB1 or R1), because the difference between the 1 & 2 impacts which digital I/O features you can use.
What you probably WILL want to change on your I/O Unit is your IP address (assuming that you'll be running this strategy you're changing on the R2 you're referring to). I'd encourage you to check the "Local (loopback)" box. That way, if you change the IP address of your R2, you'll only need to change it in the control engine -- not the I/O Unit too.
Hope that helps!