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My main peeve with the Apple TV (device) is that the home button keeps sending me into Apple TV (App) instead of to the main screen.

I have to click it twice to get back to the home screen.

As is also commented, within the device settings you change the behaviour to be a home button.

You should also be able to hold the ‘menu’ or ‘<‘ button, depending on which remote you have, to directly go to the home page

Just dig into the menu, that's an option if I remember well.