The sun has its rotation locked for the convenience of the user so that it does not get accidentally rotated. If it does get accidentally rotated or you want to change the direction of the sun you can but you will also have to change the normals of the earth in order for the light/dark values which makes the lights show up on the dark side of the earth.  

In order to change the rotation of the sun press N when you are in the 3d view port with the sun selected and in the transform panel you will find the rotation. Simply unlock the locks beside the rotation section and the sun will rotate. However, you will need to change where the lights show up on the earth. In order to do this select the earth and go in to the node editor. There should be a Normal node with a round ball on it. Click and drag to change where the lights show up. There is also a node set up which includes a mix  RGB node connected to a diffuse shader. If you plug that diffuse shader in the surface input of the Material Output Node you will see a green to blue gradient with green being the light side of the earth and blue being the dark. Once you have it where you want it just plug the Mix Shader which is closest to the Material Output Node back into the Material Output Node.  

Tip: Instead of doing all that I just described try rotating the earth first because that changes where the earth is lit!