I've found it to be a colossal pain in the ass in WSL, since the emulated linux clipboard isn't synced with the windows clipboard. I have to :wq, cat the file, and ctrl-ins to copy.
I made a video tutorial around setting it up at: https://nickjanetakis.com/blog/getting-copy-paste-to-work-in...
The general point is right though. This is an issue with any terminal program that either doesn't allow selection of text, or has a system for selection of text that's separate to that of the terminal emulator.