I use VNC to connect to a Linux box running VS in what is essentially on really wide single monitor (even though it is spread across multiple monitors). My problem is not which monitor the dialog shows up on, but that most dialogs show up in the middle of the screen, which for me is half on one monitor, and half on another.
I had reported this and requested that dialogs always show up in the center of the VS window. That would take care of your request and mine. Of course, if VS was already spanning multiple monitors, the dialog may also split monitors, but I can live with it in those cases.
Jeff