Instead, Control+click the application's icon in the Dock and look in the Options sub-menu. There is a section called 'Assign To.' There you can assign the application to the current desktop (space), all the desktops or none.
The last option is the default value, where the application is open in the desktop focused at the moment of launch. If it is already assigned to another desktop, it will be shown as an additional option.
For example, if you want Tunes to open in your third desktop (assuming you have at least three desktops), go to the third desktop and then Control+click on the iTunes icon in the Dock, go to Options and then click on 'This Desktop.'
[crarko adds: I tested this, and it works as described. I like this interface change.]

