Copy link in the desktop app should use the same URL structure as the hosted app when the user is logged in with SSO. Links copied from the desktop app are unusable by browser users with hosted accounts according to support. To quote:

After looking into this, I want to clarify that this is actually intended behavior. The ClickUp desktop app is designed to always generate links using app.clickup.com rather than your workspace's custom white label URL, and this applies regardless of how you are logged in, including via SSO.

As a workaround, links copied directly from the web app will use your custom URL (mycompany.clickup.com), so copying and sharing links from the browser is the best path forward for your team at this time.