By default madCAM assumes that the head is above the part before the milling starts, which in many cases after a tool change reside in the z-end position. Therefore, the first movement is in X and Y. The second movement is down to the sefeclearence level above the madCAM box top.
You can change this if you want by adding a section in the postprocessor called * FIRST_MOVE *. Here you can set the order of X, Y and Z and you can also use the madCAM variables for the x-home, y-home and z-home position.
It is also possible to use the home position variables in the post processor start section or toolchange section, but you need to define them in the post processor.
I have attached a post rocessor for PcNC with the *FIRST_MOVE* section included.