Yes, copying DateTime values from EXIF to XMP executes only within selected images! And, if you execute this command inside GUI, you can notice, XMP DateTime tags have been added into NEF image.
Now, some hints (and ideas maybe):
As said, when copying DateTimes from EXIF to XMP, those values are written into XMP (inside NEF files). You can decide to either delete XMP (DateTime) data from NEF, or you can import various XMP data from sidecar files into NEF (to have all inside single file).
Anyway, once (done by GUI) DateTimes are inside XMP of each NEF file, you can use "Import XMP metadata..." menu, to copy existing XMP data from NEF files into XMP sidecar files (to update DateTime tags). After this is done, you can remove XMP metadata from NEF files, though.
If worth something: I keep all XMP metadata inside raw files (Canon in this case) and everything works fine: all photo editors and even Canon software recognises them as such -and I don't need to bother with those sidecars.
Have a nice day,