This works fine on macOS in anything that supports it. For example I can drag assets in and layers out of Pixelmator without any issue, drag emails to the desktop or a Finder to save them, etc.
> mostly you can't use overlapping windows because of raise on click
Which can be disabled if it makes sense for that app. What use case are you thinking of here?
> Why when I have my file manager view of a directory open do I need to open it again inside the application to save a file there?
You can drag a directory into the save dialog to jump to it (Windows gets this wrong), and the title heading of an open Finder window is itself draggable, you don't have to exit the directory if you already have it open.
Alternatively Opt-Cmd-C to copy current directory and then paste it into the save location dialog, or Cmd-Shift-G and paste in the location.