You should not drag a control onto a frame. You should insert the control onto the frame.
If you want to move an existing control to a frame simply select the control and cut
(CTRL+X) it. Then select the frame and paste
(CTRL+V). The control will now be inside the frame and cannot be moved outside of the frame.
If you create controls at runtime then use the Container
property of the control to set it inside a frame.