Drag and drop in this context is for files.
Is your other system properly mapped (smb://192.168.x.y) ?
If I map a drive on the other system, drag and drop works fine. If I do not map a drive, drag and drop does not work. So this is likely a security change.
Without logging in, the feature will depend upon successful browsing which does not always work, even now in Windows. So it is necessary to map a drive before dragging and dropping.
Follow up note:
I am using a Windows 10 host machine with a VMware Workstation 15 Pro (15.0.2 build-10952284).
There was an issue with Kali machines and a VMware Workstation 15 + version causing Kali to hang and VMware to "Stop Working" Nothing to do with Drag and Drop. But it was corrected in Workstation 15 ++ . Try upgrading VMware Workstation. I am using V16 at this point.
In response to the Firewall question:
The following ports are associated with file sharing and server message block (SMB) communications: Microsoft file sharing SMB: User Datagram Protocol (UDP) ports from 135 through 139 and Transmission Control Protocol (TCP) ports from 135 through 139.
Also make sure File and Print Sharing and Network Discovery or the equivalent for Linux are enabled on all machines.