It is very strange bug : it seems that the first time that you start the program the drag & drop does not work.
But if you close the program and open it again, it works.
It seems that it does not work when it does not find its options file (e.g. just after having been installed).
I'll try to correct that for next version.
I added this options window when I added the possibility to add folders to the list in addition of the files that the folders contain.
I do not see a better way to make this choice visible (but there is a checkbox to disable this options window)