Same behavior on a 2018 15-inch MacBook Pro, and an external LG Full-HD Ultrawide monitor. I don't even need to unplug the second monitor, the computer sleeping is enough to make all workspaces on the second monitor empty and the windows to hide. Frustrating, this never happened on Catalina.

I'm happy to report my MacBook Pro 15 (2018) has stopped messing with my windows since the upgrade to Big Sur 11.1.