To create control from order to delivery - use the T-Code VTLA.

There you check whether entry is maintained for your sales doc type and your order type.
I hope - you might not have maintained the entry over there. That is why you are getting this
problem.
Copy the existing copy control between LF and OR and rename it to your order type and save it.
It will resolve your issue.
Some more info:
Copy control from delivery to Billing: VTFL
Copy control from Billing to Order: VTAF
Copy control from Order to Billing: VTFA
Copy control from order to Delivery: VTAA.
To remember these TCode, A-Order, L- Delivery, F-Billing.
Tcode will be like: VT (Destination)(Source)
Ex: Copy control from delivery to Billing: VT F L