Bryan:
Yes, I've encountered the issue you describe with folders and files. I really don't mind so much.
"First opening" is a signal to MacOS of project membership for files and folders: That is an easy, natural one for users, and a good indicator _most_ of the time. I can think up several ways to tell MacOS, "no, this file is a shared resource", but none of them seem either intuitive or convenient.
I have more trouble with apps. For one thing, I haven't yet found documentation that clearly explains the "Assign to…" dock options for apps. I haven't tried hard to find such docs, because I'm hoping as often happens with MacOS features that I'll learn more intuitively by actual use … eventually.
Browsers: I do a lot of research browsing and I often leave as many as dozens of windows open per project. For the moment, I'm assigning Safari and Chrome each to a specific project/desktop, which seems to be a reasonable expedient. I assigned Firefox to "none", and that works out well, except that when I restart, I've got to put all the Firefox windows back in the project/desktop to which they belong. But I can't easily extend this one-browser-per-desktop any further -- it seems a bit crazy to download yet more browsers.
Other apps: So far, the biggest struggles I've had are with Adobe's Dreamweaver CS5. The first issue is that DW windows disappear entirely when you leave the DW context, and that defeats a key visual aspect of Mission Control -- viewing the thumbnails. More importantly, much of the time I'm interleaving web projects, for weeks or months, such as a technical modification to website "Foo" while I'm adding content to website "Fum". But that's only two or three of 9 project/workspaces I have active at the moment, and DW is irrelevant to the other 7. How do I get DW to appear on only two?
Note: I don't intend to rag on DW. Except for the out-of-context disappearing, I think that this discussion could apply to almost any app that I use in more than one project. DW happens to be the one I have been using most recently.
I _think_ the designers worked hard to make existing apps work well with Mission Control, but there is only so much they can do. I think, say, a few tweaks to DW would let one instance of DW smoothly serve multiple project/desktops without being assigned to all of them.
HTH
P.S. In my opinion, sanity is a skill, not a state. Most people capable of asking "am I insane"? have the skill. <grin>