Open two Explorer windows to two different drives, e.g. My Documents in one and Guest Additions in D:\ in the other
Drag and drop a file from one to the other (e.g. D:\ to My Documents)
A shortcut to the file is created. (In Windows XP and previous ROS versions, it creates a copy of the file.)
Holding down the Ctrl key gives you a + on the cursor but it still creates a shortcut rather than copying.
In order to actually copy the file I have to copy it to the clipboard and paste.
I bisected and the guilty revision is 71579, "[OLE32] Sync with Wine Staging 1.9.11". Looking at the diff there are various drag-and-drop related changes in e.g. ole2.c.