Do you already have some location set as Home? I already had mine set; but played with it a bit to see the behavior.
If a Home location is already set; then I could not convert a normal pinpoint to Home only to a preset (Home was greyed out). In this case the only way I could find to set home was to go to the home option main menu and manually move the location (no address entry, etc).
However, if the Home location is not set (you can delete it if it is already set) then I was able to convert a pinpoint location to home - the option was not greyed out.
I'd try deleting your existing home location and then converting a pinpoint.
-Jeff