CMD-TAB to Finder in a different space and the focus will always bet set to the Desktop. As a result, keyboard interaction is impossible until the Finder window is focused with CMD-` (backtick) or clicked in.
If Finder is fullscreen (OSX 10.9+), the window looks focused but isn't. All keyboard interaction is sent to the Desktop: SPACE will quicklook over the fullscreen Finder window whatever file/folder is highlighted, even though you can't see them.
This was in 10.8 at least. It's really frustrating having to hit an extra keyboard toggle just so I can keep using the keyboard on the window that was meant to be focused.