I don't think this has ever been true on CO. When they started the co-pay program, the upgrade fees were non-refundable, but the money stayed with the PNR. So, you could make unlimited changes to the PNR, whether it be just changing the date on the return, or up to something like canceling the whole flight and rebooking it later, even going to a city in a completely different reward zone with a different copay amount - as long as the PNR stayed the same, any upgrade money collected but unused would still be there and usable.

But then last year they changed the rules so that now the upgrade co-pay money is completely refundable, even if the underlying fare is not. If the upgrade doesn't clear, you get your money back. If you decide not to upgrade, you get your upgrade money back. If you cancel your int'l trip and re-use the non-refundable fare to book a domestic trip (after paying the change fee, if applicable), you get your upgrade co-pay back.

So, I don't think there ever was a case with the old rules or the new rules that you'd lose the upgrade co-pay money just by changing the reservation.