I have two displays (4k-main and 1440p-secondary), both connected via Displayport. Premiere and After Effects both show the preview on the wrong (4k, primary) display. Of course, as there's no keyboard shrtcut to disable the MT, I have to force quit Premiere as the preview window obscures the main UI (see screenshot)
It's not user error, I am choosing the correct, secondary display.
What helps sometimes is unchecking the "Displays have separate Spaces" in System Preferences-Mission Control (but then FCPX starts to have similar issue, which is a no go for my needs).
This bug is there for at least 6 years if not more. I'm currently on Big Sur 11.3.1 but it goes back to at least Sierra. Different Macs exhibit the same issue, as does using HDMI, resetting prefs, reinstalling CC and all the usual troubleshooting steps.