Arlenn, sorry, you mentioned SolidEdge, so I thought you might have had the wrong forum.
Go into Tools>Options>System Options and in FeatureManager "tab" make sure that Material is being shown in the drop-down menu. Make sure all your Lightweight parts are Resolved. Material Properties for your parts should be visible in your Feature Manager (FM) tree, as an icon that looks like a stop light, but with red/blue/green lights with horizontal lines by each.
I don't think there is a way to Ctrl-select various parts in the FM and do a global material change, you will have to change each individual part. With the top assembly open, click a part, click the Edit Part icon and after the part details in the FM are highlighted blue (default color) you can select the Edit Material option.