It doesn't do it if the Project bar is scrolled all the way to the top.
But if you scroll down a bit..
1. Scroll the project bar down until "Object types" is at the top edge of the window.
2. drag "Sprite2" into "New folder"
3. the window does auto scroll to the center.
since you can't drag more than one at a time, I can see how this could get aggravating.