When Worklight is installed a default password is generated for application center admin user.
I have looked for the documentation about how to change that password in infocenter but I have not found anything.
I have changed the password using the WAS admin console and it works but I do not know if this is the correct and supported way to do it.
Is it valid to change the password using the admin console or is it needed something else?
Yes, it is quite valid to change the default admin username/password.
I believe this Information Center article should help you: Configuring the Application Center after installation. And more specifically, Configuring WebSphere Application Server full profile.