You're right, it wasn't the proper place so I've placed your post on a separate thread.
It's funny you bring this issue now since something similar was raised a couple of days ago by another user via Winstep support. Funny because in all these years, nobody ever mentioned anything related to this, and suddenly I get two queries about the same subject in a row.
So, what you are experiencing in that video is a mix of two things: a failure to understand what the different tab types in the Shelf do, and Nexus Ultimate not properly handling drag & drop for Folder type tabs in the Shelf.
I'm basically going to copy what I told the other user by email:
The Shelf, unlike the dock which only stores 'shortcuts' to applications, has several different types of tabs. The 'Regular' tab type is the one that behaves just like a dock when you drag & drop items into it.
However, when you create a 'Folder' type tab, that tab is actually a 'window' into a real physical folder in your hard disk. This is a very powerful feature since it allows you to work directly with the files themselves, etc... the 'problem', in your case, is that the same rules apply as if you were editing that folder in an Explorer window, i.e.; if you delete a file from a 'Folder' type shelf you are actually deleting the file itself, not a shortcut to it.
So, to recap, you should have made your 'Ferramentas' tab in the Shelf a 'Regular' tab type when you created it (which would have made it impossible for you to have this problem). Instead you selected the 'Folder' type - which means every file you have dragged and dropped there is actually a copy of the main executable file or an actual physical shortcut to it.
Right click the 'Ferramentas' tab header and select 'Tab Properties'. The dialog that pops up will tell you what type of tab you are dealing with here, which is obviously 'Folder' type since at the end of the video you actually show the contents of that folder in an Explorer window.
Now, the ability to 'Lock Icons' is mainly to prevent accidentally moving icons around on a *Regular* Shelf tab. In fact, when you enable that option you will NOT be able to drag icons on Regular Shelf tabs, just as it should and like it happened in your video with the dock.
'Lock Icons', however, has no effect in 'Folder' type tabs, because you are actually dealing with *physical* files on your hard disk. You can NOT position icons around in these tab types as you can on Regular tabs or on the dock, again because we are dealing with actual files in a folder here. You can only specify that you want that Folder type tab to be sorted alphabetically, by date or by file size.
The second problem has to do with what happened when you dragged the Notepad ++ shortcut from one place in the tab to another. This is what can indeed be called a 'bug':
You see, the problem is that Nexus/the Shelf always automatically resolves shortcuts first.
Now this makes sense if you are talking about dropping a shortcut to the dock or a 'Regular' Shelf type (since you want the dock/Shelf to point to the actual file/executable and not to a shortcut somewhere which can be moved/deleted by the user at any time) but in the case of a 'Folder' type tab, it is indeed the wrong approach.
By now you can already imagine what happened, I guess. The Shelf automatically resolved what was initially a dragged shortcut when you dropped it into the another place in the Ferramentas tab, so what it actually moved was the source executable file and not the shortcut itself. Because you *moved* instead of *copying*, it then deleted the original shortcut in the same folder. Oops.
I was already aware of some oddities regarding shortcut manipulation and I planned on revisiting that code before the next release. You just gave me another reason to do so, so expect this to be a non-issue in the next version.

Anyway, I obviously need to have some kind of warning showing up when users create a 'Folder' tab type instead of 'Regular' tab type.