Sadly it's working as intended. Your starting class dictates your home nation, regardless whether you're a 1.0 player or not. If you wanted to be associated with Ul'dah you would have picked one of the classes that reside there.

They have said they were going to probably implement something in the future to where you can change your home nation, but there's no timetable for it yet.

As an aside, does the Fantasia phial allow you to change your starting nation or does it skip everything after how your character looks?