Not COPY, but software that runs on Win9x used those names still for opening devices.
That's why they still work. For the same reason as other DOS Aliases, like C:
If you use UNC paths, you can bypass alias names, because your path will be unambiguous - however if you write such name into one of the "classic" visible name spaces, software that uses classic paths (for example because people are familiar with them, and because rewriting all strings to ensure you use UNC is annoying) might... Find issues ;-)
Oh there are plenty of batch files in DOS and Windows history that COPY SERIAL.TST COM1, just sending RS-232 bytes straight from file to COM1 via good old COPY.
That's why they still work. For the same reason as other DOS Aliases, like C:
If you use UNC paths, you can bypass alias names, because your path will be unambiguous - however if you write such name into one of the "classic" visible name spaces, software that uses classic paths (for example because people are familiar with them, and because rewriting all strings to ensure you use UNC is annoying) might... Find issues ;-)