The primary domain is the canonical address of one storefront. Open the storefront, go to its Domains tab, select Set Primary next to an active custom domain, and confirm. Settings → Domains only manages the store's domain inventory.
Removing the primary
From the storefront's Domains tab, Remove Primary switches that storefront back to its platform subdomain. The custom domain remains connected and verified in the store inventory; it simply stops being the canonical address.
B2B storefronts
B2B storefronts work differently: they have exactly one assigned domain, which is their canonical address by contract, so there's no separate primary-domain choice to make.