Yes, Monokote shrinks more in the direction of the length of the roll than across. You should always cut the material to maintain the length of the roll with the length of the part. If you ever cover a wing with the roll length orientated with the chord of the wing, you will find the covering dips further between the ribs than it would if applied with the span. I have a model at home that drove this point home very clearly.

On a solid surface, you will have greater sag/wrinkle issues with temperature changes.

John