How are you specifying the number of copies?
Are you selecting the value in a dialog just before the label prints or are the number of copies specified inside a script step?
If you try printing to the Dymo without using Filemaker at all, such as from a text file, can you successfully specify a number of copies to print?
The number to print is specified in a dialog, not the script.
The Dymo printer prints fine when using another application to print from (like the Dymo software) or from a text file.