How to reproduce:
1. Open any Unity project on a multiple display setup
2. Create a new GameObject in the Hierarchy and focus on any other application which is located in a different display
3. Press "Exit" in the Editor without refocusing it

Expected result: the dialog which instructs the user to save the Scene occurs in the same display as Unity is located and is focused
Actual result: the dialog box appears in the display where the focused application is located and is not focused (is in the background)

Reproducible with: 2018.4.18f1, 2019.3.3f1, 2020.1.0a25
Could not test with: 2017.4 due to the red "Exit" button not being functional

Notes:
1. If the application (not Unity) is in the same display as Unity, the dialog appears in the same display, but is still not refocused.