Don't click on the blue arrow right from the file.
Instead click on the edit button top right. Next select the file and click on copy down right.
Now move to the photo library and click on the arrow down right and click paste.
You can also open the image in filebrowser. Once opened click on the arrow top right and save to the photo library.
Update..... photos no problem it will open in an app and then save to camera roll but not with videos the only apps that are available to open the videos are in the screen shot below ..... Stash, iDo, Evernote, Dropbox and Goodplayer