> Immutability the supposed "big advantage" of functional languages
No, immutability is just the means. The objective is writing programs that are easier to reason about.
> No one ever discusses the implications of a system which is constantly, needlessly, insanely doing nothing but MAKING COPIES OF DATA.
Just because copy assignment requires, well, copying in languages like C++, it does not mean things work the same way in functional languages. Precisely because data structures are immutable, you can internally just pass around a pointer to the data structure and pretend you have copied it (e.g., when you pass it as parameter to another function).