Grayscale Swatches interpreted as CMYK
In an RGB color mode, a created Grayscale Swatch does not survive. When copying and pasting an object colored with such a swatch results in a warning. I think this is because the swatch is seen as a CMYK-swatch ny the clipboard and not recognized as created in an RGB situation.
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TonyG commented
Is your document color mode RGB or CMYK?