It's not expected to work.  Browsers don't let web applications write directly to the host computer, the best they can do is send a document and trigger the browser's save dialog.  And the web application also doesn't get information about drag events once it leaves the area of the browser.  So dragging within a page can work (and does work in Web Access), but we don't get the same kind of notification of dragging to explorer or the desktop.

Since you have to go through the browser download anyway, the easiest thing will be to click the export button.