If you want to change permissions of lookups you should go to Settings -> Lookups -> Lookup Table Files. You will see a list of all your lookup table files. There is a tab named "Sharing" that will show the permissions for each lookup, and when you click at "Permissions" button you will be able to see the permissions menu.
If you wanna change permissions of a dashboard you can go to "Dashboards". You will see a list of your dashboards. Click Edit -> Edit Permissions.
Also, you should check if the role you are using has the permission to change permissions of all objects in Splunk.