From your screenshot, I think we can find out the cause. You need to choose the second radio button so that the home page will be the website you set.
From the official doc, we can know that this behavior is normal:
If you enable this policy, users can't change their home page URL, but they can choose the behavior for the Home button to open either the set URL or the new tab page. If you wish to enforce the usage of the set URL you must also configure HomepageIsNewTabPage=Disabled.
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Regards,
Yu Zhou