Configure Growl notifications to follow active display?
Offhand, I think it'd take some work to do exactly what you ask. I don't know what events are fired when the active window changes, if any. You would probably need an applescript that polls to find the current window, the display it's on, and then reassigns Growl.
However, if you're running a recent osx and the latest Growl (4.x), make the icon visible in the dock, then right-click it and assign it to all displays.
Its notifications might show up everywhere then.