In a dual monitor setup, after switching the monitor displaying the game using the Shift+Win+Left/Right Arrow keyboard shortcut, if you then change the "Screen Resolution" setting in game under Settings > Graphic Options to a custom value, the game window will forcefully move back to the monitor it was displayed on before switching.
To prevent this issue, set the display mode to either "Windowed" or “Borderless Fullscreen” first, before switching back to “Fullscreen” mode.