Creating Alias with custom icon

So, this has been an issue for many years over many Operating Systems. Sometimes it's possible, but often it is not.

I have an external hard drive that has all my movies. I have a single folder that contains all movie files, and then I have separate folders for genres that have aliases. I have custom icons for all the movies and USED to have alias files with the same custom icons. Not anymore! I updated to Catalina and now all alias files have the default file icon.

Here is the folder with all the movie files:

Here is the folder for the War genre:

I made an alias for the movie 1917 so I can show you what happens.

Now, the important part. After I eject the hard drive, the next time I open it the custom icon is gone and the default icon returns:

I can't copy and paste an image in Get Info for an alias file (which is what I've done for years).

This problem only occurs on an external drive. If I make an alias on my Mac, the alias file doesn't lose the custom icon.

I have over a thousand movies and have lost all the icons. However, the alias files still have the larger file size because I had previously pasted a custom icon, so I know the info is still there. I would love a fix for this. Thanks.