Unfortunately as a default behavior, FrontPage does not allow AllWebMenus to include the HOME page unless it is on the same level with the other web pages in the Navigation pane.
To achieve this try to drag-and-drop the web page icons upwards to be on the same level with the HOME icon.
Another option is to use the full-featured application via the 'Start > Programs > AllWebMenus' shortcut, as most options are disabled by default.
The automatically created menu.awm file by Frontpage can be found at the ‘myWebs’ directory of FrontPage.