This can happen when you try to move a message from a local mailbox, for example, "On My Mac", to an account's In box. This only occurs with certain email messages and only in certain account configurations.
Download and install Mac OS X 10.3.2 Update to address this issue.
If you're not ready to update, you can use this workaround: Move the message to Drafts, then drag it to the account In box.