Hi,
I have exactly the same behavior using Ubuntu 20.04LTS(gnome3.36) when trying to download from server (W10) using monitor “download from file server” and like you drag and drop work.
note: When connecting from W10 client to the same Ubuntu computer and download via monitor menu “download a file from server” it work.
NoMachine free version 6.12.3 on both Linux and Windows.
Regards
Pierre