OS X will always shift focus to an application that requests it. If the application happens to be on another space, the space will switch automatically.
The real problem is the automatic focus shift which also causes problems if you are, say typing into a document when the shift occurs. IMHO this is a OS X mis-feature. In the Windows world, the issue was fixed back in Windows XP by not shifting and just flashing the application in the Windows Dock equivalent. You know the app wants attention, but you are not forced to it.