When copying files in DO, I like the full status indicators all the time.
But I notice when I Drag and drop to the windows desktop, I get the old crappy windows explorer copy window.
I then tried to open explorer, and I find whenever I copy from DO to any explorer window, DO copy box isn't used.
Is there any way to fix that or is this a windows limitation?
Drag & drop is handled by the window you drop on (not the one you drag from) which is why you see Explorer progress windows when you drop on Explorer.
I have TeraCopy installed on my computer and it handles copying to desktop by drag&drop. Why can't Opus do the same?
I must be misreading this.
I use Opus to drag and drop to desktop daily.
Works perfectly.
What am I doing wrong?
You mean that you can drag files and folders to Windows' desktop, ie. outside any DOpus windows and it will trigger DOpus copying? For me, TeraCopy window takes precedence. I can change this behavior by dragging with right mouse button and choosing "copy here" but then standard Windows Explorer window will appear.
I guess Opus could install a shell extension drop handler for this, but tbh it doesn't seem worth it to me just for copying to the desktop. How often do peoplee typically copy so much data or so maby files to the Windows desktop?
I used to do it quite often until I started using DOpus. 
Many people store their files on desktop. Especially files copied from removable devices before placing them to apt folder.