F-Zero GX is a "protected" game save. Like Animal Crossing.
You can "move" it to another card, but you can't make a "copy" of it (unless you're using something that doesn't respect Nintendo's rules on that).
They do it because there's ultra-rare stuff available in the games, which can be traded. If you spend all your game-money on some super-rare item, they don't want you to copy your saved game, trade all the good stuff to one card, and delete the useless save. Then copy your save over again, trade twice as much stuff, and delete the useless save again.