When Thunderbird is set to all activities, and a new mail is started, the composition window doesn't appear also on all activities (which wouldn't be an issue alone), but additionally it first appears on the activity where the last composition window was opened. Opening another composition window without closing the previous one opens on the correct activity. After this, if you close this second window (On activity #2), then close the first one (which is on a different activity #1), than an new composition window will now appear on activity #2, regardless which activity you are on.

Steps to reproduce:

1. Start Thunderbird
2. Set it to all activities
3. Select an arbitrary activity (e.g. #2) and select Write, to start a new message. The new mail window appears on this activity
4. Close the compose window
5. Go to activity #1 and select Write again. The Compose window doesn't appear, but you can find it on activity #2.
6. Open another Compose window on activity #1. It appears here.

7a. Close Compose window first on activity #2, than on activity #1
8a. Selecting write on activity #1 will result in a window on activity #2

7b. Now after step 6 close Compose window first on activity #1, than on #2
8b. Selecting Write on activity #1 results in the expected behaviour: window on activity #1
9b. Close it and go to activity #2. Try to open a compose window. It will open on activity #1.

10. Repeating 7b with the logical changes will always change the activity where the first window shows.

Using TB 15.0, but this bug is here since activities appeared, and I think it is activities related, not TB related, because TB simply opens a new window, which for some reason doesn't inherit its parents settings.