If the copyrighted code was uploaded to GitHub by the owner, there's no problem with this. When you upload code to GitHub, one of the rights that you grant to GitHub is the right to use your content for "improving the Service over time". See D.4. License Grant to Us in the GitHub Terms of Service. Once it is up there, you also grant other users certain rights, like viewing public repos and forking repos into their own copies. See D.5. License Grant to Other Users. Even with the most restrictive protections in place, using GitHub requires you to give up certain rights.

A question would be if creating and training Copilot is "improving the Service over time". I would suspect that it would be, though.

There are still some open questions around what happens when Copilot suggests code verbatim, but these are mostly for the users of Copilot. Although I would hope that GitHub is thinking about offering information to ensure that users understand the source of code they use, if it may be protected, and what licenses it may be offered under. There are still some interesting legal questions here, but I don't think that the training of Copilot is one of them.

A more interesting question would be what GitHub does if someone uploads someone else's copyright-protected code to GitHub and it is used for training Copilot before it is removed. If you don't own the copyright, you can't grant GitHub the rights needed to use that code for anything, including improving the service.