Hm, every time I use a Curves operation or whatever the dialog comes up in the last place I used it. In my case I generally move such dialogs to the lower-left area of my second monitor. I've never thought twice about that, though I like it.
Are you on Photoshop CS6? Windows or OSX?
FYI, I'm using a named workspace and have un-docked panels. Here, for example, is where an Image - Adjust - Curves dialog opens for me by default...
I am using CS6 and although I do have two screens, I only use Photoshop on one and have the internet open on the other. I have never named my workspace and my set-up looks pretty much like what the default is. I may need to change that.