It's not a terrible name either. Assistant would be better, but they can't use that name[1] of course... I'm having a hard time thinking of something else that instantly communicates this idea of an intelligent subordinate aide that doesn't have negative associations.
Personally, I think Microsoft wastes the name "Cortana" on their mediocre Google Assistant competitor. I haven't really seen Copilot do much copiloting, it mostly seems to answer questions and follow instructions. Maybe Windows 12 will be different, but I kind of doubt it.
1. https://en.wikipedia.org/wiki/Office_Assistant