That’s for the menu bar. I am talking about the dock. It goes to whichever screen you are on as soon as your cursor is at the bottom. So when you have a large screen up top and a smaller laptop below, as you move the mouse from big down to small, you often hit the “bottom” of the big and the dock reverts to the top screen. You cannot make it stay on one screen or show on both.
Ah yes, I realised that was what you meant after I posted.
Though, in fact, it doesn’t really affect the menu bar at all.
Rather, it determines where your desktop icons will live; and it is probably used to determine the default desktop the dock is on when you do a cold boot - must test that.
Like you imply, I’d very much prefer it if you could drag the dock to a specific display and have an option to prevent the moving behaviour you mention.
Would also be nice to be able to drag some icons to one of the Arrange Displays screens to indicate where you want your icons to live.