As documented in http://winmerge.org/docs/manual/Open_paths.html#OpenPaths_dragndrop you can see drag and drop open a dialog instead of actually drag and dropping.
For example, I already have text copied and pasted in the left panel and I just want a real file opened in the right panel. This happens a lot when one of the files is zipped and you prefer to copy and paste that make WinMerge the editor of the archive program.
Other programs just do real drag and drop. That way you can have copied text in one panel and a real file in another.