Thanks for reaching out. I tried reproducing this on Windows 10 and XD 28.8 and was unable to replicate. Will it be possible for you to share a small video of the workflow and what exactly is happening at your end? I would also request you to share the version of Adobe XD and the Operating System.
On my Test Library I have a component like a menu that I later use in File B. In File B I'm going to override few simple things in the component (instance) that I just mention. For this example let's say the background of the first element is grey. At this point I want to KEEP the overrides and copy that instance from File B back into library, as an instance.
The result is that the overrides are lost.
Another simple test you can do is:
Create a component
Somewhere else on the SAME file use that component
Apply some overrides
Copy the instance of the component that has those overrides into a new file --> overrides are all good and still there
Now, cmd+c or ctrl+c the instance with the overrides from the new file and paste it into the old file --> overrides are lost