Bug. The developers responsible for this will check it. Please tell me more about:
– NoMachine product and version on local and remote machine (free version, Workstation, etc).
– Whether the problem arises connecting to a physical or a virtual display.
– Remote and local Linux version (Ubuntu xyz, Mint x.y, etc.).
– Desktop version (GNOME. KDE, whatever).
There is a plan ongoing to add better multi monitor support. For example by opening a different player window for each monitor, or, as you suggest, by letting users switch from one monitor to the other in a single window, by using a keystroke, similarly to Spaces in OS X.