If I open - say - an effects editor on the 2nd screen and set it to “Always on top” , that window will stay open until I click elsewhere on that same screen, but it will disappear as soon as I click on one of the other 2 screens.
That behavior not determined by which screen you click on - although it may appear so. What happens is that if Cubase currently has focus then the Window will be visible and if Cubase doesn’t have focus the Window will not be visible.
If you deselect the Always On Top option for the Window (in the upper right) then it will behave like a Normal Window and will be visible regardless of which program has focus. But it now can also have other Windows on top of it. FYI, this is what you have to do if you want to see a VSTi’s GUI while reading its PDF manual.