First, see this thread and see if it applies:
http://www.kinook.com/Forum/showthread.php?threadid=240
Second, the way the rule is defined, the value it will match on is "FxCop" (including the double quotes). Remove the double quotes if you're only search for the text FxCop. Something else that can affect the comparison is 'Tools | Application Options | General | Case sensitive comparisons in conditional build rules'.
A rule based on a macro's existence should also work; this step will only get built if the THFXCOPYFAILURES macro is defined (you can copy and paste the text below into VBP):
<step action='Group' type='0'>
<condcomparison type='3'>1</condcomparison>
<condexpr>%THFXCOPYFAILURES%</condexpr>
<ignorefail type='11'>-1</ignorefail>
<name>Project steps</name>
</step>
If the above doesn't help, please send a reproducible case demonstrating the problem. Thanks.