I've noticed this as well. I use a "workaround" in the form of Yoink: https://itunes.apple.com/us/app/yoink/id457622435

Yoink seems to trigger a file export in Photos. Why that doesn't happen with other programs is anyone's guess.

I put "workaround" in quotation marks because this is really how I do all dragging and dropping between programs in macOS, since I tend to run stuff in full screen.