The reason you probably couldn't drag and drop from Cakewalk directly might have been the simple instrument track? But I just tried drag and drop from both a midi track and a Simple instrument track and it created midi clips on my desktop. The clips play fine in media player or VLC. It also dragged back into Cakewalk and created a new midi tack just fine.
If you select only the midi track and use from the file menu- Export Standard Midi File , you won't get that dialogue.