Comment # 1 on bug 1002674 from Wolfgang Bauer

(In reply to Rufus Laggren from comment #0)
> The only setting I found which might control this is
> Settings/Window-Mgt/Task-Switch/Filter-windows-by; but it apparently does
> not affect the task bar display.

This only affects the "task switcher", i.e. when you press Alt+Tab.

To change the task manager/task bar's settings, right-click on it and choose
"Task Manager Settings", there's an option to "Show only tasks from the current
desktop" in there.

I just tried that here and it works as expected.