I think you'll find this is by design.
Every object inside a Captivate movie has a unique ID. The slide number and even slide name that you give the slide are just labels assigned to the object. The object's ID is probably some randomly generated number that you never see. So if you've set up a slide action to jump to another slide in the original movie, there's no guarantee such a slide with the same unique ID will exist in the next movie that slide gets copied into.
So the developers of Captivate seem to have designed it so that copying a slide from one project to another will default back to certain settings that are safe.
Additionally, you will find that if you copy a caption or some other slide element from one project to another, Captivate will rename the Item Name. This is once again to prevent conflicts where more than one item in a movie might end up with the same ID and cause instability.
So, although the way Captivate is designed may mean extra work for you when you copy slides across, it will prevent your movie from becoming corrupted or unstable.
Rod explained very well what is happening when you copy/paste. I was just wondering if you couldn't just make a duplicate of the file using another name provided both files are pretty similar. Then you could delete slides that you do not need and add new ones. At least some navigation will then be preserved, but you better check everything of course.
Unfortunately you have confirmed what I did not want to hear. At least I know there are no shortcuts I have missed.
I appreciate your clarification.