If you drag an email to one of your Sortd lists it will be removed from your Sortd Inbox and added to the list you dragged it to (i.e. moved from your Inbox to the list).

If you receive a reply to that email at a later point the thread will come up in your Inbox again, and you will see a colored indicator on the mail, which is there to tell you that this email is on one of your Sortd lists.  You will also see the same indicator on the item itself in the relevant Sortd list.

You can archive the message from the Inbox itself by clicking on the hide icon next to the ribbon (which essentially archives the email).  Alternatively if you click on the ribbon icon on the linked task it will hide (/archive) the email from your Inbox as well.

How can I prevent items I've dragged from coming back into my Inbox?

If you would prefer not to see items that you've dragged to Sortd in your Inbox again (and only to see the indicator on the Sortd list) you can change that in your Sortd settings.  You will find this option under the Advanced tab from the settings dialogue:

To stop emails from coming up in the Inbox, set this to On.