Also: how/where should I find these settings in a GUI context? They don`t seem to be available in KControl. OK, hold on... I think I found them, in "Desktop"::"Window Behavior"::"Focus", under the section heading "Navigation". I tried turning "Traverse windows on all desktops" off, hitting "Apply", then turning it back on again and "Apply" again, but it did _not_ seem to help. :-(
Like Mike already said, this is the setting you are looking for. I tested it on my machine (Debian 10, TDE R14.0.9) and it works in such a way that when I switch windows with Alt-tab the switcher shows the list of windows on all virtual desktops, with applications on a different desktop being prefixed by that desktop's name - see attached screenshot. The setting takes effect as soon as I press 'Apply' button - no need to log out and log in again.
Janek