This whole situation is very silly and the publishers must find it irksome (and a drain on resources) to be frequently sending out specific approvals for candidates in music exams to make copies - because which of them is ever is going to say No - and create a grudge in someone that might otherwise spend a fortune with them on musical scores in the rest of their life?
In a sensible world copyright law would specifically allow copies to be made in this kind of situation, with the proviso that they be destroyed after the exam.
It is possible that the law already does allow copies for this purpose. UK Copyright Law has the concept of "fair dealing" (fair use is USA copyright law). The relevant section of the act states:
Fair dealing ... for a non-commercial purpose does not infringe any copyright in the work provided it is accompanied by a sufficient acknowledgement
A practical music exam is not commercial in the sense intended by the law, so whether or not you are allowed to make a copy seems to turn on the definition of "fair dealing"
The Society of Authors has the best definition, which is:
one article from any one issue of a journal (even if that one article is the whole issue)
one chapter or up to 5% (whichever is greater) of a book or similar publication
up to 10% of a short book of up to 200 pages (Library Association guidelines)
one poem or short story of up to 10 pages from an anthology, or
the report of one case in law reports
By analogy it would seem that copying one piece from say a collection of Sonatas, or the whole piece in the case of a separately published item constitutes fair dealing
But what individual is going to risk being the test case for this interpratation. Just lobby your MP to get the fair-dealing clause updated, the next time the Copyright, Designs and Patents act is reviewed to cope with advancing technology.