Hi Ilian,
I'm sorry but I can't repro this. When the bigger monitor is off (and I hear the sound from Windows indicating a device is now gone), it still opens windows to that display. Nothing moves between monitors for me when they are turned on and off. And this is the same for other non-WPF based windows as well, at least on my system. I'm on Windows 8 x64 so there must be some setting somewhere that controls this. But I haven't found one in Windows.