I meant that backup copy job (despite its name) doesn't do simple file copy, instead it synthesizes the restore point in target location from VM data in source backup repositories. When initially executed, it will re-create a current VM state captured in the latest backup file, forgetting about its old states present in other backup files. So, don't expect your backup chain to be copied to target location as is.
Kindly, check corresponding User Guide section
for more information regarding the said mechanism.