Internal with LDAP Authentication does not have "copy user on first login option" like the one in Confluence as stated in this documentation.

After setting up Internal with LDAP Authentication, JIRA internal users are not authenticated with LDAP and we still need to create all the "Delegated LDAP Directory" users manually in JIRA with "Delegated LDAP Directory" at the top of User Directory.

This "copy user option" feature will be implemented in JIRA 4.3.3

As a workaround
Backup and modify the database for the tables cwd_membership and cwd_user so that the directory_id is set to be the id of "Delegated LDAP Directory" as in the table cwd_directory. This will make the internal users to be authenticated with LDAP.