Lubuntu 16.04.1 LTS
pcmanfm 1.2.4-1
On the file list: No effect. The element should be saved as a file.
On the places list: Dragged element is lost as soon as it hovers over. It should be possible to drop it into a place and save it as a file there.
On the path bar: Pasted as a URL or text. Makes sense as the path bar is a text field.
Anonymous
I have a similar problem (on Linux Mint 19 Cinnamon) - as follows.
When I drag the URL from Firefox to the desktop (and my desktop is handed by Nemo), then the file is created as a link. When I drag the file into a pcmanfm window, its extension turns into .desktop and its mimetype is: application/x-desktop.
When I drag the URL from Firefox directly to a pcmanfm window, (i) I get a 'copy or cancel prompt' from pcmanfm, (ii) the file gets created with the mimetype application/xhtml+xml and with the filename 'unread', (iii) clicking that file does run Firefox and load the page but the page renders incorrectly.