Thanks for this additional information.
onCopyPreprocessorEvent is called only on objects which are registered as preprocessor listeners. This is automatically handled when running an analysis with sonar-scanner.
However, CobolCheckVerifier does not behave the same way.
You can register your check as a preprocessor listener when creating the instance of CobolConfiguration that you pass to CobolCheckVerifier:
CobolConfiguration myConfig = new CobolConfiguration();
// ...
myConfig.setPreprocessorListeners(Collections.singletonList(myCustomCheck));
CobolCheckVerifier.verify(myFile, myConfig, myCustomCheck);