Hello! I'm coming in quite late on this. But on the first Alfred (the one still on the App Store) this used to work on my side.
With Alfred 4.app, it doesn't seem to work. I do have the mounted drives added to the search scopes and using 'find' or hitting 'spacebar' just after opening Alfred.
One thing that the Mac App Store did ask for is to have permissions to search mounted drives, Alfred 4 didn't ask for that.