It appears to me after reviewing the Windows menu API and looking at some other apps, that the space to the left is reserved for icons and checkmarks whether you need them or not. (Since items are added individually, it's easy so see why it wouldn't be so easy to adjust the overall menu spacing each time an item is added.)
That said, the API does provide a hook allowing the application some degree of control over drawing the items, but: a) manually drawing parts of the Windows interface is typically complex due to the need to integrate with themes, so this would be a project, and b) it's not year clear to me that even with the "owner draw" method we can eliminate the space reserved for the item icons.