I have noticed this problem as well. My secondary monitor is placed left of my primary one, and I only have fences on the secondary, while I use the main desktop for misc files I only have on my desktop temporarily, which is why I want them to go there and I don't want to create a fence for them. This is really a letdown because I just got the pro version now and the older free version did not have this issue.
We need an option to choose which monitor new icons are placed on!
To make matters worse, I tried to go back to the previous version I was using (1.01) and now when I start windows I get the message that Fences was possibly not loaded correctly and may have to be re-installed, but it works fine. The message pop-up is annoying, though.
I hope this issue gets resolved, soon, so I can use the newer version again.