Some more parallel copy fixes #5924
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We need to be absolutely sure that when `copy_data_internal` is done, we have a connection in `self.conn` and therefore want to make it clear when we might exit early with an error
Otherwise, they don't really run in parallel
10,000 seems too big and actually slows things down
This ensures that `copy_data` can't be called more than once on any instance; when copying encounters an error, it might leave the CopyConnection in an inconsistent state and should therefore not be reused Also make `copy_data_internal` private; it should never be called from the outside
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