Unfortunately, that's a problem that is caused by the specific programs. If a program wants system requesters to open on their own screen, they need to specifically direct them there, otherwise they open on the Workbench.
I don't know of a utility that can redirect them to another screen but it would be a risky venture seeing as programs could open/close screens at any time and also would not be expecting system requesters to open there.
P.S. That's an AmigaOS issue that occurred from the beginning, not just OS4.
