You're welcome! It can get confusing, but here's likely what's happening. When you're hitting "Cmd+\" and then seeing the video fullscreen on your second monitor it's because Transmit was already enabled. The "Cmd+\" is more like "Maximize Interface" than "Play Video Fullscreen."
To confirm that this is the same issue, make sure "Maximize Interface" is disabled. Toggle your "Enable Transmit" shortcut a few times to confirm that's working properly, then leave it enabled. Now hit "Cmd+\" to "Maximize Interface." Transmit will disable, but as soon as you hit "Cmd+\" again Transmit will re-enable.
As I mentioned this is how Transmit to a second monitor has worked for at least a couple years now, and the behavior is identical between 2019 and 2020. Perhaps you weren't using "Cmd+\" before or conincidentally, you never had them both enabled at the same time. This is how it was for me because one day I also thought there was a bug. It took me ages and ages to put together what was happening.