How to create the app icon on current screen?
New apps are never installed to the first screen.  Instead, they are put in the first open space available from the second screen onward.  If there is no open space for the app, then a new screen is created.

This does seem like something that could easily be turned into a preference; and, there may be a jailbreak setting already.  But there is currently no way to override this behavior that is supported by Apple.