Stop Finder from Opening in 1st Space

When I have an application that I use the contextual menu for 'Show in Finder' it opens finder, but it always opens it in the 1st space, never in the current space i'm in. For example, I have Xcode in space 3 always, and when I right click and show item in finder it opens the finder window in Space 1 always, same across all other applications and instances. Even worse, it doesn't autonomically teleport to the 1st space I have to manually do it. I'm running 3 monitors which makes it a little more aggrevating

Heres my settings :

Altering any of the group choices etc don't have any effect.

I would love to have it open in the active or current space i'm in.