You are right about copper conducting better. What makes that irrelevent is that the metal body of the light is the conductor. A typical flashlight needs a copper wire only 1/16 of an inch across to transport the power. If aluminium were 1/2 as good as copper (and it's much better tahn that), you'd still only need a wire that's twice the size. The more power, the thicker the wire needs to be.
The wire that feeds your whole house is only as big around as your thumb.
The body of the flash light's a HUGE hollow wire. It is like having more than 100 wires side by side, each big enough to carry all the power.
This explanation is simplified on purpose, but technically sound.
Daniel