I found this annoying. I accidentally dragged a file from my favorites Finder to my desktop and I couldn’t drag it back.
I fixed it by going to the command line and manually moving the file by going like this:
> cd <dir where folder lives> > mv <folder> <newLocation>
For me I needed to move my ‘Developer’ folder from the ‘Desktop’ dir back to /usr/jr so I did this:
> cd Desktop > mv Developer ..