That’s the decision Apple took. It makes sense† but it’s also utterly stupid. For some reason they stick to it. I don’t think it’s a big deal. Fullscreen apps suck anyway and there is no reason whatsoever to use them on a big screen, much less when you have more than one screen available to you. They might make sense on the 11" Air but certainly on no other computer or screen Apple sells.
Just use apps like you always did (before Apple introduced their stupid fullscreen mode) and they will work fine. Like before, like nothing changed. I have the sneaking suspicion that only maximize-crazy Windows converts run into this problem. On the Mac you don’t maximize. Apple only implemented fullscreen mode the really stupid way to make that abundantly clear to everyone.
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† More than Apple just disabling other monitors, anyway.