I have two screens. The right one is set as main.
On the left screen I have qBittorrent application open. When I select a torrent in the list and press Delete, "Deletion confirmation" window is opened in the right screen. When I open a '*.torrent' file, new torrent dialog is also opened on the right screen. The same happens with qBittorrent's settings. Though if I select File -> Add torrent file... the dialog is opened on the left screen. Skype whose main window is open in the left screen also opens its settings on the right screen.

Not all applications behave like this and not in all cases.

Is there a wrong setting in Kwin? Or it's a bug?

likely neither - dialogs are opene on top of their parents.... unless the client asks for a specific position.
-> run "kcmshell4 kwinrules" and add rules for the offending dialogs to disobey geometry requests (either apply initially, maybe force is required)

a known issue with skype is that it alters the window class after mapping the window (spec violation, hey it's an MS app so the rule may not apply.

I ran "kcmshell4 kwinrules" but the dialog is too complex -- didn't know what to do with it. Anyway, looks like it's an issue just with these two applications, though I thought initially it's a general problem. So I'll leave it as it is.