I've tried dragging, clicking dragging and only get the circle/line-thru-it. And there is no New Gradient Swatch option anywhere that I can see.
Listen: I've now spent over 4 hours online -- today alone! -- reading instructions that simply do not work. After 4 years of InDesign work and design changes made because I can't get two colors to simply gradient, its time for this function to work for me.
You have at least two possibilites to add gradients to your swatches:
1. Select an Object with a gradient applied. (Take care to have the gradient part selcted in the stroke/fill part in the tool panel.) Got to the Swatch Panel and in the menu of the panel select "New Gradient Swatch…"
2. In the swatch panel menu got to "New gradient Swatch…", edit the color stoppers, add some ore remove some and click on the add or ok button.
While I think it's easier to use the new gradient swatch dialog, I'm having no problem dragging swatches onto the gradient ramp in the gradient panel. You'll get the slashed circle symbol in most parts of the panel, but when you get over the ramp it will change.