Novice question about home page

Hello all,
I have just tried with WP and have one simple question, as I couldn’t find a resource that describes my case exactly.

I have created a test site, which has just one page (no posts). My problem is that the ‘Home’ menu always appears. I have tried the Settings->Reading->Front Page display settings, but the result is the same. I would expect the ‘Home’ link to disappear when I select a different start page.

To put it otherwise: What if one does not want a ‘Home’ link in their site, and wants the site to start on a specific page and that’s it?

Thank you