SOLVED solution? It appears you can only "set home" and "locations" on ROADS. Just because it can lock on to your non-road position, if the position isn't on a road, it wont do anything. The best you can do, is pick an area on a road, closest to the location you wish to store, even though your position isn't currently on the road. Once the message pops up on the road, scroll down through the menu options until you find what your looking for, such as "set home position".
I found this post while looking for how to do this myself and didn't find the previous posts to actual solve the issue. After messing around, this appears to be the solution.
(This was done on May/4/2014, previous/future versions may vary)