They are three different things.
When you make a copy, you create an identical copy of a CD onto another CD. There is no intermediate step (there may be, but you don't see it). Start with a CD, end with an identical CD.
When you make an image, you create a file on your computer hard drive that represents a CD. Typically, this file ends with the extention '.iso'.
When you burn an image, you take an .iso file and recreate an identical copy of that CD that the image came from originally.
So you can copy CD->CD.
Or, you can create an image from CD->.ISO FILE
And then you can burn an image from .ISO FILE -> CD
Each has reasons. Personally, I tend to make an image of a CD (or DVD) and then I can burn copies of it whenever I like. But it's up to you which serves your needs best.