I just tried what you described and although I'd think it would do as you described it doesn't for me, either.
One thing I did try that seems to work is using copy and paste. Once I have focus on the file I want to drop in the source window I hit the conventional Windows keyboard shortcut CTRL+C to copy it. I then navigate to the target window using ALT+TAB then get myself positioned such that I am ready to drop it where it needs to be dropped then hit Paste, CTRL+V, which effectively drops it there.
Try this and see if it works for you.
Brian - Windows 10 Home, 64-Bit, Version 1709, Build 16299 (dot level on request - it changes too often to keep in signature)
The opposite of a correct statement is a false statement. But the opposite of a profound truth may well be another profound truth.
~ Niels Bohr