I'm narrowing this down. If I have the drag and drop at the beginning of the slide, it works fine. If the drag and drop comes in towards the end of the slide, the drag and drop is not working. I think it could be a pausing issue. I'll post a result if I can get it to work, otherwise, I'm just going to have the drag and drop open in a new slide at the beginning rather than at the end of the previous slide.
That is THE missing information. Drag&Drop objects always have to be present at the beginning of the slide. Have a look at this older article (still valid): Drag&Drop tips - Captivate blog
The previous details were misleading, there is no difference between wizard or panel use, changing or not changing the feedback messages will change the requirement to have all objects from the start of the slide. Sorry, this often happens, the crucial information is not given, I should have asked (as usual) for a screenshot of the timeline from the start.