That's strange. By default the Home key is assigned to the command LineStart which is supposed to do just what you described. But you're correct: the Home key goes to the left margin (which is what LineLeft is supposed to do). Perhaps you've found a bug; can someone else confirm?
I'm running v5.2.0 on XP Professional. What version are you using?
After some experimentation, I discovered that if I have word wrap disabled, pressing Home once moves to the first non-whitespace character on the line, and pressing it a second time moves all the way to the left side.
With word wrap enabled, pressing Home always goes to the left side for some reason. I am trying to make the Home key go to the first non-whitespace character without having to disable word wrap, but so far I haven't figured out a way. I tried testing this with my Home key set to LineStart, and also set to LineLeft, and it doesn't seem to make any difference. Does anyone here have any advice?