Please try contacting Parallel support then. I do not think this is WinSCP issue.

Forgot to mention that I'm running Windows via Parallels Desktop. Yes it has it's own mouse driver. I've attached the screenshot for more details.

Unfortunately, I cannot reproduce the problem.
What is your exact version of Windows 10?
Also check your "Mouse" settings in Windows. Don't you have some specific mouse pointer scheme configured? Some specific mouse driver (maybe it got updated recently)?

I've uploaded a video, so you could see what I mean:
https://www.youtube.com/watch?v=6d-IKReWB-0

After recent Windows 10 update or WinSCP update (currently on version 5.21.8) I am missing icon of file(s) or folder(s) that I am dragging. It doesn't matter if I do dragging in local pane only or between local and target panes.
Also, when I drag file from Windows Explorer, firstly I see the icon, but when I switch focus to WinSCP window – I see only cursor (without icon, like nothing happens), but when I release mouse button – transfer begins.
BTW, transferring itself works well. The only issue is missing icon of dragging file.
I've tried multiple versions from 5.19 to the last one. I've tried uninstalling, reinstalling, cleaning, portable versions – nothing helps.