CDATA means "character data". The purpose of CDATA is to say "anything in here is pure text, even if it looks like markup". Therefore, CDATA cannot contain element nodes, by definition.
If you write
<![CDATA[<xsl:copy-of select="."]]>
in a stylesheet, it is equivalent to writing
<xsl:copy-of select="."
Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference