Open Cortana, click the Notebook in the upper right hand corner, click on "Places" and then press the + sign at the bottom. Even though my home was already in there as a favorite, I had to re-add it from scratch to set it as Home.
I find it easier to add home/work address by using the Maps app because the search result is not always accurate (from where I live at least).
So, this is how I do it:-
Launch Maps
Tap + Hold the location
Tap the pop-up pin
Press add to fav button, choose Home/Work/Others and you're set.