I have always right click on file and select download rather than just drag it. Don't know if that will be any better.
Another option is to have the router E-Mail the file to you:
/tool e-mail send file=RB4011_Daily.rsc to="jim@mydomain.com" body="Router #1 daily script attached." \
subject="RB4011 $[/system clock get date] at $[/system clock get time] Script"
This is a portion of a daily backup script I have. This part sends the .rsc file to me.