That's what happens when "Displays have separate spaces" turned on. (With that setting on, windows are only present on one monitor at a time, and, when dragging a window, that transition happens when the mouse cursor moves between displays.)

With "Displays have separate spaces" turned off (so windows can be present on more than one monitor at a time), it looks like windows take their DPI setting from whichever monitor the majority of the window is on-- with my current two-monitor setup, the DPI transition happens at the halfway point of a window, regardless of where the mouse is as I'm dragging.