System Preferences has a security feature whereby you must "unlock" and authenticate as an admin to change sensitive settings, including Network settings. Ethernet & AirPort both have "Advanced..." buttons behind which Apple hides most of the actual controls -- the non-Advanced settings are cut down and simplified (but definitely fine for normal use). Unfortunately, once you click Advanced... to change the settings, there's no authenticate button. I've found myself in the Advanced sheet, unable to make a change, and had to back out of the sheet, unlock, and then click Advanced... again to make a change.

Apple declines to address this issue, so I'm documenting it here for others annoyed by this bug.