If you change DPI after docking it, you'll confuse the Windows shell, which can't cope with docked toolbars and mixed DPI mode (which is what you'll be in if you change DPIs without rebooting, even if all screens are set to the same DPI).
Set the DPI you want in Windows, reboot, then place the toolbar, and then save the floating toolbar positions (via the File menu in the Customize dialog, if automatic saving isn't turned on) and it should stay there.
If you're opening the toolbar using the Toolbar command, using the POS argument can also decide which monitor it goes to (but it's ultimately up to the Windows shell).
Avoid mixing multiple DPIs at once like the plague if you want to use docked toolbars. It triggers so many bugs in the shell, including the taskbar appearing in bizarre places.