It is sometimes in a non-working state - reboot of the system usually helps. However, this is not your case since you have tried on many systems. There is a setting of that in VM Settings - it should be ON by default, but worth checking nevertheless.
Another thing is that dragging between Desktops works better. Dragging to a network drive might never work.
For a better control, copy/paste workflow works better than dragging. Windows drag is horrible anyway within Windows itself, because it fails when you drag over directories on the side of your File Browser, and it stops analysing whether those are "on-line" or whatever it stops for ... often, in the end it drags the file where you wanted it and where you actually released your mouse key ... so why does it stop at all for a minute and locks the system, it makes no sense. I'm saying this, because this same phenomena might be behind the failure in KDE - so, try cut/paste-method and see if that works.