Hi Maru,
here I made a screenshot, and because it doesn't capture cross-hair, I made small green square of which area I sampled.
To better describe the issue, it's actually what Romullus wrote, it is sampling something (because the color changes as I move around), but it's not where the crosshair is.
My setup is 2 identical 32" 4k display with same DPI scaling (150perc.) and one vertical 24". I sampled from the identical monitor though, I didn't try turning off the vertical, might do later.
In this screenshot, where 3dsMax ends is the end of middle monitor, it's full-screen. I take back what I wrote about Windows issue, because I tested with Photoshop and that one samples correctly.