The feature has now been released as one of several "Virtual Desktop Improvements" in the Windows 10 Anniversary Update (Build 14316):
You can now pin a window so it’s available on every desktop. To do this, launch Task View then right-click on the window you want to pin and choose “Show this window on all desktops”. Try pinning Skype or Groove Music so they’re always at your fingertips. And if you have a multi-mon setup, you might enjoy the ability to have your email app on the second monitor no matter which desktop you switch to.
