QYou are trying to move remote file(s) to destination to which WinSCP cannot transfer files directly. Files will be downloaded to temporary directory instead. Transfer to final destination will be left to responsibility of target application (e.g. Windows Explorer), which WinSCP cannot control. Source files will be deleted just after download to temporary directory finishes. If target application fails to deliver temporary files, they may be lost. Please, consider copying files instead of moving.
Hint: To copy files hold down Ctrl key while dragging.