Unfortunately it looks like this is just some quirky behaviour in Windows, and I don't think there's anything we can do.

Windows will save the position of an application when it's closed, so that it opens in the same spot the next time you launch it. The System Properties window seems to respect this, but it looks like the Advanced System Settings window always opens on the primary monitor, regardless of which monitor it was last closed on.

We are hoping to add a feature in the future that will have all child windows and dialogs forced to the same monitor as their parent application, so hopefully if we're able to add that, it will also solve this behaviour

Thanks!