In earlier versions of Protel Schematic (and probably in DXP), you can either _move_ a component (acts as you describe) or _drag_ a component. Dragging will drag the wires along with the component (but it can get messy if you drag diagonally).
In PCB, you also should have a choice of move or drag - but I think it is on the options/board form. If "drag connected tracks" is selected, you won't be able to rotate the component (if you could, it would make a horrible mess!)