I solved the problem. I close Phone Link and then open again, this [Copy and paste between your device and PC] (screenshot 1) popup automatically and I click [Turn on] and then [Settings] page (screenshot 2) auto popup. At this moment my problem is solved. I notice the screenshot 2 [Settings] page Settings>Features>[Cross-device copy and paste] is On, so I guess it was Off by default earlier. I did not go into the Settings page before screenshot 2 appeared.
screenshot 1
screenshot 2
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Info:
I later go Settings>Features>[Cross-device copy and paste] and switch off [Cross-device copy and paste] then try copy and paste again and the problem happens again, so it is really this setting that is causing the problem when it is Off.
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Info:
I setup by following the video
in this guide
How to use Link to Windows on your Galaxy smartphone - Samsung Business Insights and during the setup I need to enter microsoft account in Phone Link (in PC) and in Link to Windows (in phone), no way to avoid using microsoft account like the video using older version, after setup is completed, I use it immediately and I am unable to copy and paste between my phone and PC, I did not change anything in the settings, I did not know there is a settings page.
My windows 10 pro pc is login using local account (no microsoft account)