In general, yes, one can get the CM booking code from UA, call up the reservation on copaair.com and select seats. Even on UA awards; I've done it maybe 10 times since ConnectMiles started. But I just checked for a UA award on CM that I made earlier this week, and the Seat Selection feature is deactivated. The copaair.com website has been snafu for several weeks now, and the seat selection feature is deactivated even for my upcoming flight purchased directly through the website.
What the agents told you over the phone is complete baloney, unless they've recently changed something. A Copa agent spouting baloney is not unusual. That being said, perhaps now the ability to select "premium" seats in the first few rows or exit rows is not available until check-in.