Nothing? Can it affect quality of the copy? Can issues occur?
Does it depend on the player - if it caches the file while you're playing - and as such you actually don't copy the same file that's playing? Or is there a difference in audio files compared to other files, in that certain portions of the file can be copied at the same time as certain other portions are played, and so the transfer fetches the portions not currently in play until the transfer is complete, seemingly entirely unaffected by playback?
Is it a software or a hardware thing? Did copying audio files in use work with DOS. or even Windows XP?
And does it depend on the format? Can you copy some but not others? MP3 seems to work, haven't tried WAV, FLAC, APE, M4A....
Internet didn't have the answer for this, so I'm just leaving the open question here.
If you have the answer, do tell.