When you drop your force on an enemy force you should get a message at the top of the screen. The message will be in white. It should say something like, Greene is targeting Cornwallis. If you do not see a message, then it is not working.
Unlike merging friendly forces, an interception does not always work, especially if the opposing force is moving and you do not have enough range to reach the target destination. Try drag and drop in a dark terrain (that is not winter) and leave the targeted force in the area.
Final note, you cannot intercept an enemy force in the same region as your force.