The original Macintosh could only run one application at a time, though the application could have several documents open at a time. With the introduction of multitasking, a decision had to be made. Apple decided to go with something that resembles the multiple document interface, except all of the windows for a single application were effectively placed on a single layer (rather than being contained within another window, which was quite common on Windows back in the day). What you are seeing in that multiple screen setup is effectively a historical artifact.
Used to use the Alt+Tab app which makes it more sane, but I eventually removed it to preserve bloat.
Now I switch windows using Spotlight by typing the name of the app I want to switch to.