Despite all the Windows-esque "help" on this thread suggesting sudos and wipes and all sorts of gunk, its not about that. I have the same problem... but can see that it has something to do with messages that are part of threads. If I try to drag and drop a lone message to the desktop, its fine. If I do the same with a message that's connected to other messages (even with threads not checked), it won't. Don't go to extremes. Someone somewhere has the answer, and I'll bet its simple.
Same issue with Dragging & Dropping "certain" email messages and threads.
ISX 10.8.2 build 12C60
1. If the messages are collated in a conversation, I can NOT drag the conversation to a folder on my hard disk or desktop.
2. If I open the conversation thread, I am able to drag and drop, "SOME" messages to folders with no issues, But there sometimes have 1 or more in the conversation thread that can NOT be drag & dropped. I select the message and drag and the "mail" travels with mouse but no "green +" to drop in folder.
The #2 issue is sporadic meaning it doesn't happen with all messages in conversations.
I've been dragging and dropping emails into other emails as attachments for quite some time but just this week that function stopped working. I'm still trying to figure out a solution but in the meantime I've found a workaround. With the email selected that I want to attach to another email, I go to Message>Forward as Attachment. That opens a new email with the other email attached. Then I can drag and drop the attached message wherever I want it and delete the draft.
This may not cover all the problems discussed above but hopefully it helps.
Drag and drop OS X Mail.app files to desktop to create a MIME encoded .eml file works in Mavericks for me. The resulting file opens in Mail.app, Airmail.app, SeaMonkey.app and MailRaider.app.
FWIW, this was the best discussion on this topic I found: http://www.ehow.com/info_12156886_eml-file-mac.html