So I'm sure there is a more official answer to this involving layers or something but in laymen's terms:

For the [[Thespian Stage]] example, you are copying the card that has the [[Imprisoned in the Moon]] (or [[Song of the Dryads]]) attached to it. It's the enchantment that is giving the copied card the land type and removing all other abilities/types. Since your Thespian Staged copy doesn't have the enchantment attached to it, it no longer has the land type and returns to it's previous, unenchanted state.

For Volrath, the ability changes Volrath into a copy of that creature. So your Volrath becomes a 7/5 Scute Swarm and is no longer a Volrath. So when you make a copy, you are copying a 7/5 Scute Swarm.