dwjinbbca wrote: Just been doing desktop to desktop as a test.
Try through Finder/Explorer (or vice versa) at a location other then either Desktop. The reason I previously asked is because the Desktop is set as a Mirrored Folder and it wouldn't make sense to be able to DnD from itself to itself, although I'm not where I can test this myself at the moment. Or you can disable the Desktop as a Mirrored Folder and then see if you can DnD from real OS X Desktop to real Windows Desktop (or vice versa). Have a look at: 
Add or Remove a Mirrored Folder