That unfortunately doesn't work. I just tried it. For the last couple minutes, the command-tab app list has been appearing on my "main" monitor (the one I selected in Display prefs to have the menu bar). When I click in my "secondary" monitor to highlight its menu bar and then type command-tab, the app list still appears on the main monitor. Doesn't make a difference whether I click on the desktop background or a Finder window or an app window on the secondary monitor, when I hit command-tab the app list still appears on the main monitor. And all of that is OK. I'd like to have the command-tab app list ALWAYS appear on the main window.
The problem is that sometimes the app list switches to the secondary monitor and I don't know why. And after that happens, I can click all I want on the main monitor -- desktop, Finder window, application window -- and the app list still appears on the secondary window when I type command-tab. I'll give up trying to make it switch to the main window and then, at some point, I'll notice that it has switched back to the main window. I can't figure out why it has this behavior, which seems to be random. Or at least I can't figure out what to do to make the pop-up app list return to the main window.