Using Classic Outlook on Windows for personal email, calendar, and contact management
I faced the same issue earlier on, but I noticed that if the email is under Rich Text format, then the attached file you drag into your email will be in the email body itself. However once I click on to "HTML" and try dragging a PDF file into the email, the file would be an attachment.
Before you reply to the email just check and see if the email you received is HTML or Rich Text. I tried opening up a few emails from my colleagues, and those with HTML format, I will have no issue attaching the file as it should be (as attachment); whereas those who sent me as a RTF format, when I drag a file in it will automatically becomes embedded in the email body - until I click and change to HTML as shown in the screenshot below.