Error code -036 & Files goes missing

When I Connect my HDD which is of segate or any Brand, when I select mutilple files try to create a New folder out of selection the Error dialog box appears and few files in that folder (even non selected ones) goes missing ...

which is Weird....!!!!! Same thing happens even if I select multiple unwanted files and try to move them to Bin .....

If any of you are facing same issue or if you got a proper answer to this Please Revert...

Thanks in Advance

OS- macOS Catalina | HDD- Segate Backplus 4TB powered drive