Yeah, the save files of online games won't copy to SD cards, but IIRC you can copy trophy information onto a card from Brawl, and probably custom levels. Why are you copying all the files to an SD card? If you are getting a new Wii and want to move the files over, you could just get the files you can get, softmod the Wii seeing as if worst comes to worst you won't be using it again anyway, and get the rest of the files with a program.
I can?! How do I do that? It wont let me copy the data... and if you wanted to know, I'm sending in my Wii to get fixed and nintendo apparently "Doesn't garuntee that data wont be lost" or whatever... so I bought an SD card to back up my data.