The "Copy to Album" icon disappears when you select a video as part of photos. So apparently you cannot copy videos to a new album on the phone.
This makes sense because copying creates a new file which takes up as much space as the original file. Videos can take up anywhere from 100Mbs to 1000Mbs. Since both the space on the phones and the free space offered by Google on Google+ is limited, this may easily use up your available space. Whether this is the reason or not, the fact stays true: the Google+ Photos app does not support copying videos to new albums.
If you want to copy photos just skip the videos (with the "play" overlay) when selecting multiple files.
If you still want to copy the videos, you can do so on the web at https://plus.google.com/photos.
Also, instead of copying videos and photos you could move them to new albums, that way you don't have multiple copies and leave more free space for other videos. Both Copy and Move options are available on the Web interface on top of the photo when you view individual photos/videos or select multiple ones on the grid.