HDCP runs over DP and Thunderbolt. But derefr's discussion above is accurate.
Because of how it was implemented, you could drag VLC around while the video was playing and the video would stay "behind" everything, with the VLC window acting as a "hole" through which you could see it. (So you could move the window to the left and see half a black square on the left, and the left-most half of the video on the right)
Nowadays with desktop composition AKA DWM, Windows just makes sure to black out DRM content from any frames/video it sends to an app requesting to capture the screen, making sure to send the video-including composed desktop only to the display. (And if you have some GPU recording software like NVIDIA ShadowPlay, it switches off when DRM content starts playing) You can see it in action with the Netflix UWP app. Of course, a bunch of DRM-respecting software -- like Netflix in Google Chrome -- doesn't really follow that spec and can still be screenshot/video captured like any app.
Which is the same as Netflix effectively, Netflix just provides higher to PCs when they can block screen recording entirely. Disney might eventually I guess.
The problem—and it is purely a firmware problem—is that all such monitors make this kind of support "dumb", with hardcoded geometry (i.e. split-screen as exactly halving or quartering the screen; PiP as putting one input in an box that composites over exactly the upper-left quarter of the lower-right quadrant of the screen.)
There's nothing in the scaler ASIC that particularly benefits from these numbers being hardcoded, such that its job would be any more complex if they were controllable via machine-registers POKEable using HDMI-CEC commands.