In theory it should be on all monitors. At least on mine, all 3 monitors display the login screen and any of them can be used to input the password.
You can edit the settings from KDE’s settings to copy the KWin monitor configuration to it, you probably want to set the primary display.
If just follows the cursor so if you move the mouse to another screen you can also input your password there.
The only difference is which one the mouse cursor is on initially.