You should not try to drag the door. Just select it by a single click. Then move the mouse to your level, and the door should appear. Then click to place it somewhere.
I know this is confusing, so in the future I will make it drag and drop.
For the door to work, you got to make the level where the hero needs to go. In the editor you can make new levels at the 4th tab (the icon with blocks).
When going to the properties of the door, you can select the target level and/or target door to go to.
Hope this helps.