Pro mimics the functionality of ArcMap in that you can drag and drop and copy/paste layers between projects/instances of the software and they retain their symbology/definition queries etc., which is really useful.
However, if you create a layer from a selection and try and copy or drag that to a different project/instance of Pro it forgets the selection and shows the whole layer again. Which is really frustrating! Surely this isn't by design? And I don't remember ArcMap behaving in this way dragging selection layers between MXDs.