Thank you for posting query in Microsoft Q&A Platform.
yes, you are right. Retry option will actually re-run entire activity again. That means copy activity will re-run all API calls again. So, in case of failure of copy activity if partial data already moved to blob, then don't consider using retry of copy activity. Instead, you can have different activities to run on failure of copy activity, to identify up to what page data loaded and loaded from there next pages.
Basically, it's like have an extension of process in the pipeline on failure of copy activity, to identify till what page data loaded and process next steps from there.
Hope this helps. Please let me know how it goes.