Drag and Drop "Blend Old and New" doesn't work as expected for MIDI

So you're losing the last event in the first clip. Where did it end originally, and is the end of the clip still there in the take lane? If not, try dragging the clip boundary back out past where it originally ended, and then right click and Apply Trimming to restore the exact end point.
 
I'm not sure exactly why that would happen, but you might try disabling "Non-destructive MIDI Editing" in Preferences. Contrary to its name, I find that it can be quite destructive in exactly this way. It's only non-destructive in that you can recover "lost" notes by dragging clip boundaries back out after it "non-destructively" causes an unintended slip-edit.
 
One afterthought... is a note in the later clip on the same pitch as the note that you're losing? Right offhand, I'm not sure how SONAR handles a collision like that.
 
EDIT: Another afterthought... were the two clips originally in the same lane? I reported a problem some time ago where audio clip overlaps created in this way would result in one of the clips getting slip-edited to eliminate the overlap, rather than automatically moving the overlapping clip to a new lane so they would "blend". That issue would probably apply to MIDI as well. If that's what happened, you'll want to manually add a lane and move the later clip to that lane before dragging it back to create the overlap.