Sadly those changes to settings haven't fixed this. Encountering this again this morning.
I can confirm another instance here. Didn't realize Alfred was getting activated and does work, but after reading this I'm seeing that too. Furthermore, I just found that when I adjusted the Preferences > Displays > Arrangement (just moving one display a bit), it cleared up this issue. In my case I have "Save Position when Dragging" unchecked, and "Show Alfred on" "default" screen. I've just changed the Alfred Classic theme and "Show Alfred on" "mouse" screen to see if that improves it.