copilot works wonderfully inside NeoVim; I use it daily. You are right that some of the more advanced integrations (Chat, direct analysis/explanation) aren't ported though. I use shellgpt in tmux for a (not as good but almost) experience.
Maybe I need to be using the official plugin, and maybe I need to disable LSP based syntax highlighting, but that makes me wonder what it's doing.
Talking about tpope's official neovim plugin
Copilot really does work wonderfully for me, as expected with any AI code completion. I run copilot and coc.vim simultaneously, to be noted. So when I just want to autocomplete a word, it'll be coc.vim, but when I want a whole line/method/etc built I'll let copilot be my copilot.