Set the clipboard history to 0 simply means that Keyboard Maestro will not read the system clipboard when it changes - instead it will read it only when you perform an action that explicitly reads it (eg using the SystemClipboard token, or an action that has the system clipboard as an input).
However, if you set the Clipboard History size to zero, or you exclude an application from Keyboard Maestro’s clipboard history, then the Copy action will fail because it simulates a Command-C and waits for the clipboard to change, and the clipboard will not change because Keyboard Maestro will not read the clipboard.
It could be argued either way as to whether this is a bug in the Copy action or Keyboard Maestro behaving exactly as you have explicitly told it to. I'd probably lean towards the former, but this situation only happens if you explicitly tell Keyboard Maestro not to read the clipboard. You can use Command-C instead, since that is all the Copy action does - perform Command-C and wait for a clipboard change.
I will ponder whether to the behaviour of the action should change.