After the Loot Update, it seems that it is no longer possible to quickly put a shard in a different bag by moving it and right clicking on the bag icon. The right click is treated as canceling the shard movement across the bag.
This is only a problem with shards.
I am also experiencing this problem. For now, there is a work around.
Equip the shard to an item.
Go to the desired bag that you wish to transfer the shard to.
Remove the shard from the item.
It's annoying...but it works.