I don't know if I've messed something up or this is just the way it is but when dragging a part onto a recursive zone which already contains parts inherited from an ancestor page I'm seeing the following behaviour:

If the new part is added to a dropPoint above an inherited part (or between two inherited parts) the new part ends up being attached to the ancestor page where the inherited part came from, not the target page.

If the new part is added to the dropPoint below an inherited part it does get attached to the correct page, although in terms of display order, it ends up showing above any inherited parts.

Is that how it's supposed to work?

The sorting does only consider one level, but you can control this programmatically in the parts adapter:

https://github.com/n2cms/n2cms/blob/master/src/Mvc/MvcTemplates/Services/TemplatesPartsAdapter.cs