Just tested this in R2019a and it works as for you, I have not yet upgraded to 2020.
Just an idea, try to grab the handle of the scatter plot
>> hs=scatter(x, y, 'Marker', '.');
Then you can investigate the properties of the handles directly, type hs. and then tab and a window with all the properties will appear, scroll down, in my case I found MarkerEdgeAlpha:
Which I could modify like this
Scatter with properties:
XData: [1×10000 double]
YData: [1×10000 double]
ZData: [1×0 double]
CData: [0 0.4470 0.7410]
Show all properties
Perhaps you have to modify hs.MarkerFaceAlpha as well?
Hope that helps.