Law can vary quite a bit but generally one must distinguish between a burglary tool and a locksmithing tool.
Most of the time, possession of a “burglary tool” is not illegal unless you are in possession while committing a crime (even if the crime is unrelated to the tool). In an extreme case, a criminal was observed trying to shake off a pair of gloves, while running from the police; the gloves were deemed burglary tools. Of course the definition can be quite vague, as this shows. Most of the time, possession is not a crime unless intent to commit a crime can be shown.
AFAIK there is no legal definition of the term “locksmithing tool” and it’s just a somewhat common piece of trade jargon. As suggested, it is very reasonable to own a change key if you own a safe. In one counterexample a state or municipality (I forget) passed a law against having a concealed handcuff key on your person, after somebody used one to get out of handcuffs and kill an officer.
Tangential discussion: In an unlikely scenario, a change key could be used as a burglary tool. This would involve having access to a safe/vault/container that is already open, changing the combo, then breaking in after hours (after the container has been closed but before the owner discovers the old combo no longer works) and re-opening using the new combo. I don’t know of any actual cases, it probably has happened but rarely. Many locks require first dialing the existing combo to a different dial index, which foils the idea unless you take the lock’s back off to determine the combo, in which case you don’t need to change it (and the victim may even be unaware until much later, because it still opens on the old combo); so-called “zero change” locks which use the same index for opening and changing may be vulnerable (comments?). A few locks combat this with a locked-on back cover and require re-dialing the existing combination to a different index mark before the combo can be changed or the back taken off.
