Change the menu home link to something else

Funnily enough, I see the same behavior in WordPress 3.4.2 and 3.5-beta2. No plugins active, theme TwentyEleven.

Even setting show_home as false will show the Home button ?!

Checking the core, I see this filter that does the trick:

add_filter( 'wp_page_menu_args', 'wpse_70551_change_page_menu');

function wpse_70551_change_page_menu($args) {
    $args['show_home'] = "Hjem";
    return $args;
}

[Update]
This was a bug with the Bundled Themes.

The culprit is twentyeleven_page_menu_args()
(twentytwelve_page_menu_args() in Twenty Twelve).

It ignores any passed value and enforces true instead:
http://core.trac.wordpress.org/browser/tags/3.4.2/wp-content/themes/twentyeleven/functions.php#L372

22331.patch​ is a fix for all three themes.