ArcGIS Pro 3.2.2
@MErikReedAugusta put it well in Add multiple feature classes to Map as Group:
Pro can sometimes be finicky when trying to drag things from the Catalog pane (at least in my experience). Using the context menu makes it more clear when Pro is still thinking and when it's ready for you to issue the command. As a result, it ends up slightly faster, because you don't have wasted attempts dragging into the map; you send the command once and right as Pro is ready to receive the command—no downtime while you repeatedly try again and fail.
In other words, dragging items from the Catalog Pane to the Contents Pane (or to the map) doesn't always work. My best guess is Pro is busy thinking in the background, so dragging isn't allowed. This is not something that's easily reproducible, so submitting a case/bug report would likely be a poor use of time.
Idea:
Could Pro be enhanced so that dragging from Catalog to Contents is honoured, even if Pro is thinking in the background? Microsoft Windows (and other applications) seem to work this way. If I click something, but the application is busy, the application will perform the action when it's done thinking. And maybe indicate that I should stop clicking by showing the loading mouse cursor.
Or is there something else that could be done to improve that behavior?
Related: Dragging Catalog item to Contents pane doesn't always work