I don't mean to get your hopes up, but there was a release of Ubuntu a few years back where I ran into this. I often use LiveDVD/LiveUSB sessions of Ubuntu to troubleshoot computers and extract data off of failed-to-boot Windows HDDs, etc. One time I was dealing with a painfully, painfully slow transfer off of the LiveDVD. In this particular instance, I was extracting data from Windows onto an external HDD with the intention of installing Ubuntu and copying the data back over. Once the transfer was finally done, I installed Ubuntu and transferred the data back over. It was significantly faster. Why? In my case, this release of Ubuntu had a problem with the USB drivers or something or another. Once I installed Ubuntu and updated (after all, ISO's don't get updated, so your LiveDVD session will be a non-updated one) my USB speeds were significantly faster. So in that case, an update fixed my USB speed issue that existed in the originally-released ISO that was on my DVD.
Again, not trying to get your hopes up (this was a year or two ago now), but I wanted to share my oddball story with you in case it had any relevance with your case. I do however fully agree with ijack, the copy speed between a live session and a natively installed session should not be any different.