One of the most non-obvious things in macOS Settings is that in order to set primary display one have to drag thin white bar from one display’s miniature to the other. And it doesn’t look draggable at all.
What’s more curious is that in reality menubar is actually present on all displays. What primary display controls is where your dock will appear. So, to control the location of the dock, you have to drag menubar ¯\_ (ツ)_/¯