As a fellow Clojurist, I agree with the substance of what you're saying here but wish you could express it in a more friendly manner. Both your comments essentially say "you're wrong" without educating or adding value. I don't feel that reflects well on the Clojure community, and I'd like us to do better.
Your tone suggests that you think I don't understand what you're saying (which perhaps I wouldn't, since you succeeded only in telling me I was wrong and failed to actually explain "how modern persistent data structures are implemented" -- as if they were all implemented the same way). Your last sentence suggests that you don't think I know that efficient immutable data structures are an active area of computer science research. Both assumptions are incorrect.
Now, I realize that in my original post, I might have given the wrong impression. I thought that by my second post I was being clear enough, but perhaps I wasn't. Let's try take three:
Immutable data structures do not necessarily guarantee less copying, or necessarily imply a performance gain. A data structure which does not lend itself well to immutability, such as a C-style array, can lead to very inefficient code when used in an immutable fashion. The C-style array or a variation thereof is also the default in most current languages, including Java, Python, C++, Ruby, and many others, so this is hardly a thing of the past. It's important to be aware of the performance characteristics of the data structures one is using, respective to the way in which they are used.
Egregious mischaracterization.
Said "tricks" are an entire branch of research in CS.