It seems that the behavior is as follows:
- When there is no window focused on the current desktop, then there will be no window focused on other desktops as well.
- When there is a window focused on the current desktop, then other windows will also be focused on other desktops, when you switch to the desktops.
That is a really strange behavior.
According to this it is a bug. Restarting the process explorer.exe returns the focus.
- Kill the process in the taskmanager.
- Keep the taskmanager open and click on File->Execute new task.
- Type "explorer.exe" and run it.
These are free translations of the german version, but you should understand how to do it. The process does not restart itself, so it is important to keep the taskmanager open.
This is really annoying and I hope it gets fixed soon.