The copy management only works when you send your project to be replicated... it doesn't work on a disc you burn in your computer.
Macrovision is a method of preventing people from copying a DVD onto a video tape. It works by scrambling the signal and typically, you'll just get a green screen. Applying Macrovision is done by the replicators who pay a hefty license fee for the privilege of being able to do so. They generally add a percentage on to the replication costs if you want to add this kind of copy protection. In DVDSP, all you are doing is adding a 'flag' to let the replicator know you want to use Macrovision.
Digital copy protection is done using CSS - Content Scrambling System. Again, this cannot be applied to a DVD-R and is added to a replicated project sent in on a DLT drive.
CSS and Macrovision are both reasonably old protection systems and both are easily bypassed using tools and information readily available on the Internet. That isn't to say you shouldn't use them, just that you need to be aware of what you are paying for.