Dual-monitor – dialog boxes appear on "wrong" screen
Solution 1:
If you open System Preferences - Display, then click on Arrangement, you will see a white bar above one of the displays. This is where the menu bar is and will be the primary display and probably the screen that the dialogue boxes are opening on. To change just drag it across to the other screen in the Arrange window and this should then make the dialogue box appear on that screen.