This is what I have just encountered today. When I add the second parameter to the arcpy.Copy_management toolbox the actual filename must not contain point characters (which is related to schema names).
So for instance, if you try to copy a mosaic dataset from r"d:\SDEConnections\myconnection.sde\super.data.mymosaic_dataset" to a location of r"d:\tempfgdb\super.data.mymosaic_dataset" after running this toolbox you will end up with a copied mosaic dataset in your destination but without schmea names - in this case this would be r"d:\tempfgdb\mymosaic_dataset".
Solution/workaround is - don't try to copy schema names.