Given the rate at which COPA is changing things at Tocumen with the opening of Terminal Two, I would double-check (and get a name/badge number/ unique identifier for the agent) before departure on how they are doing it, as communication is not their strong suit. The good news is that the folks in DAV will get your bag to you one way or another.

Be certain to tag your checked luggage with the name/address of the place you will be staying as they will deliver your luggage if delayed (unless you are transporting prohibited goods, in which case all bets are off!)