Works fine for me.
What you have to do is, not to do it so 'quickly'. When you Option Drag, hover for a brief moment, the space between the topmost webslice and the Web Layer, you should then see 'a blinking' black divider line appear letting you know 'its safe' to release the mouse for the drop. It's lettle easier to duplicate on non-topmost web slices because there is a 'small' hotspot zone just below the Web Layer for the cursor to hit.
I know about the black divider line - I see it and use it to know when to release the mouse.
I spent a little time studying it further:
The black divider line appears above a layer in the layers palette whenever the mouse is above the halfway point vertically of that layer. If it's below the halfway point then the black divider line appears below that layer in the palette.
If I Option-Drag and release the mouse when it's above the halfway point but below black divider line, the new slice is NOT created where the divider line is, but one "slot" lower - that is, below the slice that I wanted it to be above - and the UI feedback told me it was going to be above.
If I release on or above the black divider line then the new slice is where I expect it to be.
So - it's consistent...ly broken
File it as a bug.
Option+Drag Drop onto the New Layer icon may be a better option. It avoids the 'divider'.