mkdir - create directory (with ":" in its name) does not work in specific directory, works in others

Question

I am trying to create a directory for a movie on my Plex media server and ran into a strange issue. When I try to make a directory with the movie name ("Borat: Cultural Learnings of America for Make Benefit Glorious Nation of Kazakhstan"), I get the following error:

pi@raspberrypi:/media/pi/Plex/Movies $ mkdir "Borat: Cultural Learnings of America for Make Benefit Glorious Nation of Kazakhstan"
mkdir: cannot create directory ‘Borat: Cultural Learnings of America for Make Benefit Glorious Nation of Kazakhstan’: Invalid argument

I know that colon (:) is a special character, and this command works without the colon. What I cannot explain is why the command works with the colon if I run it in different paths. For example, it worked in:

1. /media/pi
2. /home/pi
3. /tmp

I thought it might be because of a path length limit, but that was not the case. Any other ideas why this is happening?