Thanks for reaching out to us for your concerns.
Can you please let me know the exact version number of Adobe Acrobat DC that your are working on ?
I Tried this at my end and Drag drop in Page Thumbnails panel in a pdf / across pdfs is working fine for me.
Also i would request you to kindly share with me a screen recording video of the steps that you are trying to do here ?
You can send me that at firstname.lastname@example.org
Ayush JainRobert commented
I am on OS 10.14.2 and 2019.010.20064. I am have the same problem. I can can drag a thumbnail from one PDF to the other to create a master PDF. It is a MUST HAVE feature.