If you go to windowed, move the window to a different display in a multi-monitor configuration, go back to fullscreen on that display, restart the game, it will come up on the other display instead of the last used one. Ideally it should remember where you put it.
Improved in next build. sdl_displayindex is now read from/written to config.cfg, and is consumed before SDL has initialized and configured the display.
If you go to windowed, move the window to a different display in a multi-monitor configuration, go back to fullscreen on that display, restart the game, it will come up on the other display instead of the last used one. Ideally it should remember where you put it.