The following has never worked for me, using Safari on macOS (I only ever get a vanilla URL using drag and drop):
But this shortcut, which is simple to create, works perfectly:
A Shortcut to Create a Markdown Link from Safari in macOS | Jorge Arango
I set a hotkey in the shortcut itself of CTRL OPT CMD U, and I would advise any user to add a hotkey of their own choosing.
Sharing here in the hope it helps others.