Windows 10 virtual desktops - preserve taskbar order

7+ Taskbar Tweaker v5.2 has an option to fix this.

http://rammichael.com/7-taskbar-tweaker-v5-2-with-support-for-windows-10-anniversary-update

Simply install the utility, and change the advanced option 'virtual_desktop_order_fix' from 0 to 1. (The advanced options are accessible via the context menu on the 7TT icon in the tray.)

Since I don't have enough reputation (yet), to comment on Cameron's answer above: In addition to ensuring you have the latest version installed (>=v5.2), to access 'Advanced Options' you have to actually first right-click on the 7TT icon to see it. Then you can tweak the virtual_desktop_order_fix option.

Stumped me for a little while because I assumed you could get to it through the regular interface.

Go to Settings--> System --> Multitasking and under 'Virtual desktops' change the option 'On the taskbar, show windows that are open on' to 'All desktops'.

I'm not exactly sure what your problem is as it's very vaguely described in your question, but if it's only showing taskbar items on a certain desktop, this should fix it.