There are a lot of scenarios to consider there. First, dragging to float might be supported in this app. Second, there could be linked dock sites that would allow drop targets. Third, the docking window being dragged might be a tool window and thus support docking elsewhere outside of the MDI area.
I suppose we could add a check on all of those situations before allowing a drag if the dragged window is a document window (not a tool window). And block the drag in that case.
But on the flip side, I don't like that some functionality (even a drag to nowhere as you said) would be hidden in some scenarios and not others. That is not usually advisable in the UI realm since it takes away from telling the user what they can expect to happen when they take an action.