Andrew has given good suggestions, but I am going to be it's the settings you're using.
If you have the (in the renaming dialog) Rename files as a linked Set button checked, the behavior is a bit different than you might expect.
A linked set is a group of files linked by file name - myFile.CRW, myFile.jpg in the same directory. If you check this checkbox, it will process those files together - they will renamed to the same name with their original extensions for example.
The problem here is that the script needs to have a "master file" to compare with other files by name.
Under that checkbox - you'll see a "Master Extensions" box. In there are the list of "master extensions" when if finds a file with one of those, it executes the copy. Note that CR2 is not listed, and therefore will be ignored.
Next to that, you'll find a list of linked extensions, those are the extensions of files that can be linked to a master file.
This linked set feature is really all about folks who shoot RAW + JPEG. If you're not doing that, uncheck the box and don't worry about it. If you are, add CR2 (or any other RAW extension you want) to the Master Extensions box and everything should work.
Bob
Adobe Workflow Scripting