I've only seen it happen when your two monitors are controlled by different graphics cards. If create your device for the first card, but then move your window to the second card, then D3D has to copy the backbuffer contents across the bus to the other card to display it on the other monitor, which can be extremely slow.
I've not seen this happen in the usual case where you have two monitors plugged into two outputs of the same graphics card, however it might still happen depending on the exact setup of the card.
I've also seen this when the two monitors are not of the same resolution and model/mfg. By default windows OS requires one driver be used per graphic card and shared between the two monitors. This can be problematic with older cards that support multiple monitors and driver compatibility.