Just tried it and get the same result.
There is a new bug that has cropped up in the Mac OS X 10.6.2 Snow Leopard version of Apple Mail, version 4.2. This bug was not present in Leopard's version of Apple Mail.
If you drag a single email from Apple Mail out to your desktop, it makes a copy of the email message on your desktop. BUT -- if you drag multiple emails from Apple Mail out to your desktop, Mail does absolutely nothing.
This used to be a very quick way to archive and/or export email messages out of Apple Mail, and it worked perfectly fine in Mac OS X 10.5. But you can no longer do this in Mac OS X 10.6 Snow Leopard.