Besides the very debatable advantages of a pinned site (as I read else where, who can afford to take up valuable taskbar space with pinned sites), this default behavior in IE9 breaks my technique of bookmarking that I've used forever and that I recommend to my users. I just drag the favicon, creating a .url file, and put it in the filesystem that's relevant to whatever the topic is (typically on my network home drive, but sometimes locally).
I've never found bookmarks that useful because you have all your links in one place -- would you put all your PDFs or DOCs in one place, even if they had nothing to do with one another?
Saving links (.url files) in the file system has the added advantage of letting you use whichever browser you prefer, without having to worry about copying/syncing bookmarks between browsers.
Just open a blank tab and drag and drop the .url file on the tab pane -- boom, you load the target site. I know that Microsoft would like everyone to use IE, but the truth is some sites work better in specific browsers and many technical users realize this fact and operate accordingly.
The shift-drag action does work, but if I'm using the mouse I'd prefer to just use the mouse, and not have to add a meta-key (here, Shift) to get the result I want.
Finally I'll point out that I'm not a complete bookmark Luddite -- I do use the Favorites bar for a handful of sites that I need to use every day, but in general sites I need to go back to get saved as .url files in the file system.
Microsoft should make this a configurable option in IE9 for those of use that will never use it. (I believe there is a registry tweak that will change this behavior but I have not tested it yet). Flipping the current behavior would be great, where a plain drag on favicon creates a .url file, while a shift-drag creates a .website "pinned site".