Catalina Finder: Show all windows as default behavior
This is not the behaviour that I see (in 10.15.3), so I suspect the cause is likely to be some user settings, either for the Finder, or Mission Control.

The easiest way to check that a problem is cause by user settings is to create another user account, login there, and test the problem. If the problem does not occur in the fresh user account, then you know it's something in the original account's Library.

You could try deleting files from /Library/Preferences that seem relevant, like com.apple.finder.plist and com.apple.spaces.plist, com.apple.systempreferences.plist, and then restarting.

Note that you will obviously lose other parameters when doing this. If removing these files doesn't fix anything, you may wish to restore the old files.