This bug has already been reported in item 4 of this formal bug report:
To copy a layer, you should do that in the Layers Docker with right-click → Duplicate Layer or Mask or by Copy Layer the Paste Layer.
Ctrl+C on the canvas of any frame then Ctrl+V will copy and paste the entire layer, yes, but the onion skins are not copied as frame image content. They will appear but only because the resulting pasted layer is an animated layer with onion skins enabled. These can be turned off.
If you use Ctrl+C on an animated frame and then do Edit → Paste into Active Layer of another paint layer then yes, the displayed onion skins of that frame are copied as image content of a static image (not an animated layer).
The only was to avoid that is to turn off onion skins before doing Ctrl+C.
That is wrong and it should be added as an additional comment to the bug report linked above.
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