FTP Servers do not support a "Copy" command. If you use "Copy" then "Paste" you actually move the file to the new location on the server, and the file is removed from the old location. You can "Cut & Paste" the file back if you need to restore the original file. This is a limitation of the FTP protocol.
Download the file.
Upload the file to the new location. Another option is to perform a site-to-site transfer.
Not all servers allow site-to-site transfers
You can accomplish a copy by downloading the file and then uploading again to the new destination folder, or by performing a site to site transfer on the same site (if the server allows it).
The copy command is in the menu, because you CAN copy files from the remote to the local pane, or to the queue, etc.