As “Copy to New Sheet” has found no specific errors, the problem is probably not very localized.
One possible reason from How to fix/eliminate MINOR LOSS OF FIDELITY errors :
The "loss of fidelity" is likely the result of different color
definitions used between the two versions. If you want to save the
workbook in the older format, you need to use only colors that are
defined in the older versions of Excel. To see these, click on the
Office button, pick Excel Options from the bottom of the frame, and go
to the Save tab. Click on the Colors... button, and you'll see the
palate available for the older versions. You can see the RGB values
for colors in the palate by choosing one, clicking the Modify...
button, and then going to the Custom tab. To avoid the annoying "loss
of fidelity" message, you have to use colors with exactly the same RGB
values for the colors in that palate. Check fonts, fills, and lines on
all sheets in the workbook.