I also have this problem.
I have three monitors I spread windows across (one for arrange, one for midi editing and one for mixing). I setup three screen sets (F13, F14, F15) to swap out which window is on the center monitor.
It used to work fine but after the last couple of releases REAPER can't seem to remember where the MIDI editor should be in any of the three screen sets.
Also, if it does remember where a MIDI editor should be, it opens up multiple editor windows, sometimes more than four, even though I have one MIDI editor per project enabled.
Would be great to get working screen sets back