My favorite similar WTF Windows behavior (I hope this is fixed by now):
Drag a file onto an application in the taskbar (as you would with a Dock icon in OS X), and it doesn't just fail to open it in that application—it actually gives you an alert saying "you can't drag things onto the taskbar" or something like that.
So they built in the ability to tell people they can't do it, instead of building the ability to actually do what people clearly already wanted to do. Classic Microsoft UX.
The reason it's not allowed is probably because it's unclear what it should do. Windows doesn't have a means to do a generic drag-and-drop onto a whole application. They'd have to get every application updated to support it.
I'm not that hard on MS, I learned so late that you could drag icons on taskbar-minimized application to reopen them and then drag the file to use it. Saw that from an average guy dropping mp3 files in winamp. I was silently screaming in awe.
I switch between fedora, osx and windows 8.1 on the regular. It's not fixed, and drives me crazy every time I have to wait for the window to open before I can plop down my file.
Drag a file onto an application in the taskbar (as you would with a Dock icon in OS X), and it doesn't just fail to open it in that application—it actually gives you an alert saying "you can't drag things onto the taskbar" or something like that.
So they built in the ability to tell people they can't do it, instead of building the ability to actually do what people clearly already wanted to do. Classic Microsoft UX.