hi Graeme,
Yep you are doing something wrong.
OK, I use MS5 all the time with PD9. I have MS5 open in my right monitor, PD9 in my left monitor. I select/highlight a video or still image in MS5 and drag it into Pd9 - the Library can be displayed or not - the media file will be placed in PD9. Simple and easy - works for me everytime.
Suggestion:
If you only have one monitor, reduce the display interface for MS5 - to a quarter screen size. have it display above PD9 but to one side so you have the Library displayed. use click and drag and the image or video will then be placed in the PD9 library.
Hwyl
Dafydd