Actually, they can. I just created a new tab, grabbed it, and moved it to a second screen. Since there’s a context menu item “Move to new Window” in the tab, I assume it does both in the same move.
I don’t have a second monitor to try, but that surprises me. I’m not able to drag a tab outside of its window on my single monitor.
On my Mac it seems a two step operation. Dragging the tab outside the window (same or other screen) creates a new window instead of the tab on the same screen. That new window can be dragged to the other screen
Very interesting. On Windows, when I drag a tab outside its window, it always has a 
symbol on it, implying that I can’t do that. Just now, in testing, however, I somehow did manage to get it to create a second window, but I’m not sure how and can’t reproduce it. And when it did create a second window, it was a slow process – it took a few seconds for the tab to disappear from the first window, and then a few more seconds for the new window to appear. Feels like I’m missing something.
That’s what happens with mine. It takes some time, but what I think is happening is that the Tab creates a new window first as you drag, then discovers where you’re trying to drag the new window to. Not sure this is an intended function, but it should be.
Yes, that works for me, but simply dragging the tab does not.
Dragging works for me just as you and @clancyweeks described earlier: On Windows, when I drag a tab outside its window, it always has a symbol on it, implying that I can’t do that. Then: It takes some time, … but the new window appears anyway.