It looks like this is a Finder specific bug in OS X, which I'm able to reproduce without Alfred.
If I setup my El Capitan Mac to what you describe and then switch to the Safari space, open Spotlight then type "Finder" and return, Finder becomes active in the menu bar on the Safari space but doesn't switch to the Finder space.
I suspect that this is because Finder is, in reality, always available on every space in the form of the menu bar and desktop, even though the windows are assigned to a specific space.
One workaround in Alfred could be to use the 'find' keyword for the folder you want to start browsing finder in, for example, if I type "find preppeller" into Alfred, it will switch to the Finder space and open a new Finder window.
Cheers,
Andrew
[moving to noted]