Copy is a COBOL verb. It is expanded by COBOL compiler. Where as INCLUDE is a DB2 pre-compiler command and expands the included copybook, before the COBOL compiler is invoked.
Expansion of the copybook before COBOL compiler starts it's job, allows the use of DCLGEN variables (which are generally used INCLUDED), to be used by the COBOL compiler, without complaining that these variables are not defined.