Right click your desktop, click Screen Resolution. From there you'll see the following:
http://sd.stardock.com/brad.ather/Jingimages/2015-07-21_0928.png
Your icons should be going to the main display. If they are not, your registry may be holding on to old data.
I'd like to make sure you have Auto-Arrange Icons on(Right click your desktop, select View, check off Auto-Arrange Icons):
http://sd.stardock.com/brad.ather/Jingimages/2015-03-26_1457.png
If this does not fix your issue, please open up regedit.exe and find the following key:
HKEY_CURRENT_USER\Software\Stardock\Fences\Settings
Then please take a look at this screenshot:
http://sd.stardock.com/brad.ather/Jingimages/2015-03-17_1658.png
Make sure that shows your primary display and it's # properly. If not, please change it to the correct one.