When Keep File Changes in Layer is enabled, copying a file from a layer process will cause the copy to remain in the layer. The copy of the file will only appear when the layer is activated. However, copying a file from a base process will cause the copy to remain in the base.
If you want to keep a copied file in the layer, open the Admin tool and activate the layer. Right-click the layer and select Run Application From Layer... and open C:\Windows\Explorer.exe to open a Explorer window from the layer. Any file changes made from that specific Explorer window will stay within the layer. You can also do this from a command prompt by selecting Run Application From Layer... and opening C:\Windows\System32\cmd.exe.
If you want to keep a copied file in the base, open My Computer from the desktop or Start Menu and copy the file from within that window.