All this time we've been using COPY FROM PROGRAM without any additional adornments. Then we noticed for some things like directory listings in Microsoft windows, it would come across a sequence of inputs it mangled or you may even get an error such as ERROR: end-of-copy marker corrupt.
The trick to get around the issue is to use the FORMAT option. The default FORMAT for COPY FROM PROGRAM is 'text', which tries to escape out some things and in doing so it misinterprets windows slashes so you get weird stuff or no stuff at all.