It is in Grease Pencil mode that DopeSheet does not allow you to copy and paste keyframes.
I reset the Keymap settings to factory defaults. I still can't copy and paste. Why?
Blender 3.0.0
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Sign up to join this communityTry, instead of copying the frame itself, copying the grease pencil object in edit mode. You should be able to paste it on to the frame you want it.
I am not 100% sure why you can't copy and paste frames, but I suspect it has something to do with the way grease pencil objects are handled by blender.