Sorry about the TIFF, it's the default OSX screen shot format. I found how to change the default to jpg and have made that change.
I put the Preview window on the MBP Retina and the PM contact sheets are on the Thunderbolt Display.
The reference to "virtual screens" is more properly called Desktops on OSX. I have 5-10 on each monitor, but I don't think that is an issue here.
When I start PM fresh, there is no Preview window at all so it has to be opened and then moved. Once PM is running, if I close the Preview window, then when it is re-opened it will default to the same desktop as PM and it needs to be moved. If I never closed it once PM is started, then I'd only have to move it when I first open it.