Here is what I found.
"Copper chlorophyll is a copper complex of chlorophyll, a natural green food colouring which is extracted from nettles, grass and alfalfa. The copper complex is now not considered natural. This is a colouring which appears in many foodstuffs and pharmaceutical products. It is the colouring used for the green Bassett's Jelly Baby. It is also used in Sainsbury's Jelly Babies."
In other words, there's nothing to worry about with this ingredient. Cheers