This is by design. If you need some control to be more on left, you can change the width of previous band. This may, of course, enlarge the control on previous band. Bands are always shrunken to the left (or to the right in case of BiDiMode is RightToLeft).
Other possibility: use TControlBar instead of TCoolBar.
In both cases, you would use Lazarus trunk, since there were several patches and I don't know if they were included in the last stable release.