Afaik the X11 standard says that this shouldn’t be done and that workspaces should span all monitors (or something along the lines of that), thus most DEs don’t do this (I’ve read this in the gnome issue tracker), don’t ask me why cause I also hate this behaviour. Most window managers will do that however and luckily it’s super easy to replace xfwm with another window manager. I use i3 inside xfce on my work laptop, this guide describes how to set it up with ease