It seems that you are not selecting Continuous rows of data…. This option only works if you have selected a series of rows.
e.g. To select from row# 10 to row# 30, click on the 10th row and then hold down Shift key and click on row#30. Dont select row#30 first and then row#10. This feature is by design
I find actually that when I sort the query result and then using “copy selected data..”, the function dones't work (it only copy one row), or it copies unsorted data.