You cannot technically make a copy of an NFT because each token is unique and represents ownership of a single, underlying asset. NFT are logged on a public ledger called the blockchain, which means it’s easy to authenticate an NFT as the real thing.
Underlying assets can often be copied or screenshotted because many of these assets are images or video files. Many scammers have copied works and re-sold them as NFT. This is financially damaging to both buyers and creators.