Hello
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: 
>> hs.MarkerEdgeAlpha
ans =
     1
Which I could modify like this
>> hs.MarkerEdgeAlpha=0.5
hs = 
  Scatter with properties:
             Marker: '.'
    MarkerEdgeColor: 'flat'
    MarkerFaceColor: 'none'
           SizeData: 36
          LineWidth: 0.5000
              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.