I think you have to update the zones on Garmin connect, then upload to the 500. Since I don't have a power meter, I cannot say for sure, but that's how the heart rate zones work.

Up at the very top of the page, in the blue area is 'Settings' , then click on the Training zones tab. At the bottom, is 'show power zones'. Edit the data and save. You need to do this with the device connected.