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If I run the TCL script for modelsim that references the the vho file, as you say, it's all fine.
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Ok, so the generated script works, but as you comment ...
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The problem appears to be with Native Link / ModelSim Altera
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Create an Altera Service Request, and submit the Quartus project (.qar) file, and the procedure you used to start NativeLink, and perhaps a screen shot of the errors.
That should help Altera figure out what is wrong.
Personally I never use NativeLink, so that I can avoid these types of annoying issues. The default Modelsim Tcl scripts are fairly dumb, so I copy the relevant compilation instructions into a custom script, i.e., just because Altera auto-generates a script, it does not mean you have to use it :)
Cheers,
Dave