That's never happened to me. I'm on Sequoia 15.3.1 and just tried it out, and can't get it to move a file at all. It correctly selects the dragged file/folder every time. No matter if I drag it right on top of an existing folder in the open/save dialog. I've just tried with multiple applications.

Definitely seems like a bug. Maybe you have some kind of system extension interfering? Or I hate to tell you to reinstall macOS, but hopefully that would fix it?