In insert mode, when I press the <Esc> key to go to command mode, the cursor moves one character to the left (except when the cursor is on the first character of the line). Is it possible to change this behavior to keep the cursor at the same column?

No. It is not possible to change this behavior. The cursor is always positioned on a valid character (unless you have virtual-edit mode enabled). So, if you are appending text to the end of a line, when you return to command mode the cursor must drop back onto the last character you typed. For consistency sake, the cursor drops back everywhere, even if you are in the middle of a line. You can use the CTRL-O or CTRL-\ CTRL-O command in insert mode to execute a single ex command and return back to insert mode without moving the cursor column.