Symptoms

I have a few external displays connected to the Mac, when I enter Coherence mode and use Windows on the external display(s), all dialog boxes and messages from Windows applications appear on the Mac main screen instead of the external one.

I even set one of the external displays to be primary in macOS but it did not help.

Cause

Coherence mode mechanism chooses the display on which Windows virtual machine's window was physically placed on before entering Coherence, thus it is identified as the primary display.

Resolution

1. Exit Coherence mode.
    
2. Drag the machine's window to the display where you want to use Windows applications.
    
3. Enter Coherence mode.