Okay, I found it! 🙂
WPML String Translation needs to be installed for this to work. (As the WPML forum thread states)
For anyone not wanting to go to the WPML Forum, this is what you do.
From the Dashboard click -> WPML -> String Translation then at the bottom you will see “Translate texts in admin screens”. Click it.
This is where I couldn’t find it, but alas, I did!
From there, click “+ theme_mods_generatepress” (which is hiding in a drop down) then select (check) “generate_copyright”, scroll down and click “Apply”
Go back to WPML -> String Translation. At the top, search for “Copyright”. Whatever you wrote in the copyright section in the Customizer should show up. Happy translating! 🙂