How do you copy a variable? You can only copy values. A free variable has no value. You're confusing capture with closedness.

Here's a trivial example:

  \f -> \y -> (runRemotely (\x -> f y x))

The expression passed to runRemotely has a free variable "y". How are you going to serialize (\x -> f y x) in order to send it across the network? When you hit the "y", what are you going to do?

For this trivial minimalist example you might cook up a one-off hack like lambda-abstracting the free variables in the runRemotely expression and then reapplying to the returned value, but there are much more complicated and insidious examples where these workarounds don't work.