I did some experimenting with that option before I posted this and as far as I could tell it didn't do anything.  After your post I tried a bit more and discovered it does what I want but only for some applications.  It worked for Outlook 2016, if the option was on and I created a new message it automatically went onto the page.

But other applications it didn't work.  SQL Server Management studio creates several other windows for various things.  Like looking at the currently running jobs.  This did NOT put that window on the page.  I could manually add it, but it didn't go there automatically.  Same for Firefox when creating new windows from a tab.  And File Explorer create a new windows with File > Open new window.  None of those windows were automatically added to a page even though the initial one was on the page.

Maybe these are getting created as new processes and not as child windows?  So maybe my request should really be to automatically add new processes to the current page.