Not exactly. When you consider the legacy Desktop also as an app, the behavior is consistent. Windows key just swaps between the start screen and the current app.

Start screen appears on the last monitor you launched the modern app or charms.

For switching Start screen between multiple monitors, try Windows + PageUp (or Windows + PageDown).

You can change the taskbar settings. Right click on taskbar -> properties -> Taskbar where window is open (under show taskbar buttons on).