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There's no need to.

Actually you can use also the Menu page from the Appearance menu.

That's the correct behaviour. The menu is the whole bar, home is not a menu, but a menu item. You just need to add new menu items to the main menu.

First create the pages (not posts), then on the menu settings page you'll have a list of the pages created on the left. You only need to choose the ones you want and use the Add to Menu button.

Choose a menu to edit, then below you'll be able to add and remove the entries.

You can change the main menu from the menu page on the WordPress admin panel.