The message referring to keyboard / mouse capture simply means that moving the focus from your host desktop to the virtual machine will not happen seamlessly. When you click in the VM, it locks your mouse cursor inside it, and you have to press a special key combination to move the mouse cursor back out. Sometimes it's possible to configure the VM so that the mouse can just move freely in and out. It shouldn't affect copy / paste. Can you be very specific about where you're copying and pasting to? It's unclear whether your talking about copying from the web browser, or pasting into the terminal, or what. If you can narrow down exactly what part of that is failing, that would help. Another factor is if you're trying to copy something from your host to the VM and vice-versa. That usually requires special set up to work, and the specific depend on what platform you're using (VMware, VirtualBox, etc.)
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