you need to make the same change in the server object so if you ever recreate an install set, it has the DNS name in it - DO NOT recreate the server though!
How you change all the INI files on all your machines is up to you - you can make a merge ini which changes the existing file, or you can use something outside of EEPC to deploy a new sdmcfg.ini file, or, as many have done, write a login script to do it for you.
At least you are in good position of having not changed the address yet - once that happens things get a lot harder.
Oh, and one thing NOT to do - do NOT deploy an sdmcfg.ini file through EEM - it's not there for good reason. Sure, you can deploy a MERGE ini file, but not a standard one.