Welcome to the forums and I'm sorry you're having troubles with WebCopy. I'm pushed for time so I haven't tested this myself yet, but WebCopy probably isn't copying some files as they are on different domains - for example www.video.mediaset.it
in one of your example screenshots.
If you're using the latest version, this includes a new option Download all resources
that will attempt to download any non-text/html document it finds, even if they are on other domains. Have you tried this option to see if it helps?
When I've got more than half a moment to spend on WebCopy support I'll do some testing with this page and see if there is anything I can improve in WebCopy.