That MIGHT be the problem. However, you have not much detailed informations here. But if we say you have your desktop and a fence, a rule can be set to say, for example, "new shortcuts (or any other type of files) go to desktop", they won't go to the fence. Especially when you have "keep rules applied at all times" checked. When the rule says all new items go to "Fence 1" (the name of the Fence is what you would place here), then they would automatically be moved in that Fence EVEN when you drop them on the desktop instead, as the desktop is included in the rules since it is the default location besides the fences. On top of sorting, check if there is a line saying something like "All new items go to Desktop (instead the name of your fence)" under "By default ...". That would cause such an behaviour.
It might be something else also of course.
