The catch? It saves you some decent hassle. It really does. I've used it with multiple of my research works, and while it does take time to verify some of the info, it does saves a bunch of time and effort. There is a feature called "Focus" where you can instruct the engine to only search through focused areas, like academic papers. You can also focus it on writing to have it not search and just generate text.
Hope this gives you a bit of an idea. It is still best to try it on https://perplexity.ai and see for yourself. Keep in mind that you will need to sign up for an account to try Copilot, and you can only use it on their website (unless you manually add a site search that specifies Copilot in the url).