Wow! I didn't think anyone on the mac cared about this. It was one of many annoyances that keeps me off that platform.

On Windows, there's a setting under "Advanced keyboard settings” called “Let me use a different input method for each app window.”

I can keep this turned on and if I'm writing a document in Word in עברית and I have my broswer open in English, I can switch back and forth and not have to hit WIN+SPACE to swap lanaguages.