It's the whole point. Dragoons dismount - and therefore, you could use them to ride up to a building (again, RUNNING, not walking lol) and dismount to storm the inside. Alternatively, you could just use infantry - you know, the "old fashioned way".
What you cannot do is expect every single cavalry unit to be capable of dismounting and storming buildings. It's called balance. Some units can, some units can't.
I just think the OP's example is crazy. What did he expect his cavalry to do? He kept walking them back and forth in front of a building loaded with infantry.
This is like complaining that a tank can't disassemble itself and walk into a building after infantry.
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