(1) The "New Smart Object Via Copy" command originated before Linked Smart Objects were available. One could argue that it needs to be renamed to include the word Embedded to clarify the intended use now that there are both Linked and Embedded Smart Object types, i.e.: "New Embedded Smart Object Via Copy".
(2) One can copy a Linked Smart Object layer and then use the "Convert to Smart Object" command, which will Embed the previously Linked Smart Object layer. This isn't intuitive as it's already a Smart Object, so one may not think to convert a (Linked) Smart Object to an (Embedded) Smart Object. Again, perhaps the command should now have the word Embedded added to clarify what it actually does, i.e.: "Convert to Embedded Smart Object".