Check out v4.5.10.3 beta :)

I just checked it, and it works just like you described:
If you set "Main taskbar and taskbar where window is open" and open, say, five explorer windows, two of which are on the secondary monitor, then scrolling over the main taskbar scrolls between the five, while scrolling over the secondary taskbar scrolls between the two which are on that specific monitor.

If you meant something else and I misunderstood the issue, please let me know.

The custom icon is only applied for the tray. I guess that you're the only one who uses this feature, so if you'd like, let me know and I'll apply it for the main window as well.

Unfortunately, I cannot check it now, as I have no access to a multimonitor OS, but e.g. in the example of four explorers, what actually happens on your PC?

I'm aware of that behavior, but I thought that because the situation is rare enough, it's OK to leave it as is. In fact, I can think of situations where you'd like the mouse scroll to change the global volume, and of situation where you'd like it to affect the active slider.

Yes, that's a known and documented limitation.
Doing a proper implementation with jump list support will be much more difficult, and I don't plan to look at it for now.

There's not much I can do with the provided details.
If that's still relevant, please either provide a way to reproduce the issue, or try to find out which option of the tweaker, if any, causes it.
A video which demonstrates the bug might also help.

Should be back to normal in the latest beta version.

Should be fixed in v4.5.10.2 beta. Please try it.
I'm closing it as a duplicate of:
http://tweaker.userecho.com/topic/314270-icon-of-closed-window-blocking-active-window-to-take-its-spot-in-the-taskbar/