That behavior is enforced by Lion itself, and that is one reason why I don't support Lion's mechanism (another being that the transition animation is way too slow). I've reported these problems as bugs to Apple long ago, and I have seen no action. I decided it was more important for Full Screen to be right than it was to adhere to some fancy but broken standard approach.
This is a problem with every single application that uses Lion's full screen widget which makes it seem like a huge oversight. Did the people that programmed that feature not use multiple monitors?!