How can I automatically focus Finder windows after CMD-TAB to one in a different space?
The same thing happens to me in 10.8.

If you hold option before releasing command in the application switcher, the Finder window (and not the window of the desktop) gets focus.

Holding option makes the application switcher "reopen" the application, so that if for example the application has no default windows (like a file browser window in Finder), a default window is reopened.

You could also consider using other methods than command-tab to focus Finder, like assign a keyboard shortcut for focusing Finder or use Alfred.