This is because the new Outlook is based on Chromium, which has a feature for marking draggable elements on the page with a "DownloadURL" that will be downloaded on demand when a drop occurs. However, it requires that the drop target application extract the file asynchronously as described here (it appears that Explorer is the only major application that does this).

I created an app that solves this problem so that you can drag/drop these files to any application, not just Explorer. Check it out at https://magicdragin.app and let me know if you have any feedback, thanks!