Unfortunately, this is a known issue.

Here is a painful workaround which might help you a little.
Open an empty file and copy into them all Hotlinked Modules. The idea is to have a Master file in which all of your Hotlinked Modules are nested modules.
Then place this Hotlinked Module in your Project as a multi-story hotlinked module.
Do this both on Windows and Mac so you will actually have two instances of the Master Hotlinked Module placed.
This way one of your Master Hotlinked Module file will store all paths in Windows format, and the other one of your Master Hotlinked Module file will store all paths in Mac format.
If you are on Windows, go to the Hotlink Manager Dialog, and check the Skip Nested Modules checkbox for the Mac instance of the Master Hotlinked Module and vice versa.
This way at any time only one instance will be loaded and the double instances will not cause you any problems.

You will have to try this yourself as I have not tried it, but I think it should work.