I was using this function just yesterday to copy some CAD Polylines into a geodatabase....the workflow in my 10.3.1 is this:
1. Start an editing session with the DESTINATION layer or workspace.
2. Using the Edit Tool, select the SOURCE feature to be copied.
3. Right-click, copy.
4. Left-click on the map document to deselect all features.
5. Right-click Paste.
6. Select appropriate Layer from drop down list (if applicable in your feature dataset) to create feature in the destination workspace.
7. Click OK.
(8. Edit attributes per usual)
Hope that helps,
Miles