How to always reveal the Safari Downloads Folder despite it being on another desktop?
I just tried to recreate your issue, and with multiple desktops, some with already-open Finder windows, when I click Show in Finder on Safari, which is on a desktop without any Finder windows, I get the file location shown in a new Finder window on the same desktop as Safari. I tried to mess it up but I couldn't.

One thing you might want to try, is on the Dock, right click Finder, under Options choose "None" under Assign To. Both Safari and Finder had this option selected when I was retracing your steps.

Since this is a half-baked "answer", I wanted to make this into a comment however I currently lack the rep required.