If you move a window onto an extended display and then you change the position of the extended display, the windows do move with the extended display, except for the Windows Display Properties dialogue.

This is an issue with Windows which is covered by Microsoft knowldgebase article 891391

A work around for this issue is to:

• Re-open the display properties dialog (e.g. right-click the desktop and select "Properties")
• Press escape (without clicking another window)

The next time WDP dialog is opened, it will appear on the main screen.