You just need to pass in the right argument to change the title, so something like this:
<?php wp_list_bookmarks('title_li=__('CHANGE THIS TO WHAT YOU WANT')'); ?>
Whatever you set the title as is what will show. You don't want to change anything in the wp-includes folder, as any changes you make will be overwritten when an update is released.
If the above doesn't work, then the Blogroll title is coming from somewhere else. The code you've been trying, are you inserting it in the sidebar.php file or somewhere else? I'd say it's the Blogroll title is probably hard coded in your sidebar.php file if it keeps showing up even after the above changes.