When a directx application starts, it attaches itself to a rendering device to use (so to speak), the application is bound to that device.

This means that when you have two monitors and run a WoW session on one monitor, it needs to stay on that monitor. When you move it to another monitor manually it no longer uses hardware rendering, but instead switches to software rendering. This kills your FPS as the graphics are done by your CPU, not your GPU. I'm no pro on this topic, so this behavior may change when you have your two monitors configured to be seperate (normal dual monitor), or when you have them spanned.

Anyway, that is the general idea on things.

-S