I noticed when I try to copy location in pose mode, I am barely able to select one bone, but when I click on the target, and then shift click on the owner in object mode, and then GO TO POSE MODE, I am able to copy location how it looks in the video!! What the heck?
I'm not exactly sure what's going on in your file Xavier, but just double check that you are adding the bone inside the same armature and not adding 3 separate armatures.
Make sure you are adding the bones while you are in edit mode so they are all inside the same armature container.