After some more tests, it always happen with xfce4-terminal with me.
Since you said it worked for you with this program, I first thought this
was because I use undecorated terminals, but after putting decoration
again, it still didn't worked.
So, some more things that might be useful for you, I have two monitors.
I also tested to let the terminal on the left and right monitor screen,
but this resulted in the same thing: the window always appears on the
first working space at login.
Also note that I checked the 'save the session' at the logout screen of
Xfce, for ease.
Another thing that might be useful for you is that I tried it with
glade, and glade appeared at the right working-space / screen.
With iceweasel, it seems to work _most_ of the time (it can happen that
Iceweasel appears again on the first working space). Also, iceweasel
often appears again in the 'embarassing' state, happening when it closed
badly.
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