If you copy between 2 instances of excel, you will get the effect you have seen. If the sheets are in the same instance, then you will get the effect you desire.
Instances? Huh?
An instance of Excel is a separate Excel loaded in memory.
Each time you click on the Excel icon to start Excel, this Excel cannot communicate directly to the other Excels, and each one of these is called an instance.
If, instead, you go to the File - Open dialog, and open each spreadsheet, then there is only 1 instance of Excel, and the memory is shared, and the copy will work as expected.
How can I tell?
Look at the View menu, then Switch Windows. The names of the spreadsheets listed there are ones that can copy and paste as expected. If, however, there is only one name there (or you do not see the name you expect), then the other spreadsheet is in another instance, and Excel will copy all the cells in between, even if not selected.