Is Copenhagen QM non-local?
Consider an entangled system of two photons moving away from each other in the Schrödinger picture, e.g., given by the wavefunction:
$$ \Psi(t,x) = \psi_1(t,x) + |\psi_2(t,x). $$
The photons have the same source, so at $t=0$ they are located at the same point. However, at large $t$ they will be far apart from each other and $\Psi(t,x)$ will be a highly non-local object (a single object that exists in two places at the same time). In this sense, the Schrödinger picture of QM works with non-local objects.
In the Heisenberg picture, on the other hand, you would work only with
$$ \Psi(0,x) = \psi_1(0,x) + |\psi_2(0,x). $$
The state here is local because the entangled photons are both located at the source (say at $x=0$) at $t=0$.
The time-dependence is now in the observables $O(t,x)$, which are also local quantities (or at least can be defined as such). So we avoid it here to work with non-local objects. The Heisenberg picture only works with local objects!
To say that QM is local, we have to define what is physical and what is not. In the Copenhagen interpretation, the wave-function is not seen as physical, or as Wikipedia states it:
Generally, Copenhagen-type interpretations deny that the wave function provides a directly apprehensible image of an ordinary material body or a discernible component of some such or anything more than a theoretical concept.
Therefore, it allows us to discard the non-local wave-function in the Schrödinger picture as non-physical and be satisfied with the local Heisenberg picture.
Is Pilot wave QM non-local?
Pilot wave QM and Copenhagen QM are equivalent in that they produce the same predictions and thus cannot be distinguished by measurements.
The most important difference of PWT is that the wave-function is seen as physical. To say it with WP:
According to pilot wave theory, the point particle and the matter wave are both real and distinct physical entities (unlike standard quantum mechanics, where particles and waves are considered to be the same entities, connected by wave–particle duality). The pilot wave guides the motion of the point particles as described by the guidance equation.
So the only reason to discard PWT for its non-locality is due to its claim that "(entangled) wave-functions are physical objects". But it just works with a non-local wave-function, just as the Schrödinger picture of Copenhagen QM does.
Whether that sounds convincing to you or makes you want to discard the Copenhagen interpretation, too, because it doesn't tell you what a wave-function is... Well, that's up to you.