In all sincerity just cordially ask why they are doing this? Reply all.
Please pardon the question - I would appreciate some feedback. I have noticed that all communications between the two of us have program director XX CCd on them. I wanted to make sure I am not missing something in regards to how you would two would like inter team communication handled, or if there is a potential problem with my performance please do bring it to my attention so I can address it immediately.
Most respectfully,
XX