Next Question:
Can I alias to a volume across a network?
Yes, in general. The remote volume needs to be mounted at the same mount-point as when the symlink was created.
I just tried this with symlinks residing on my local machine, that refer to remote files on an AFP server, and they worked. The symlinks were created with a 'find' command.
However, if the remote disk is unmounted (ejected) at the time I try to open them in Finder, then the symlinks fail with the same "fix or delete alias" dialog.
If your symlinks don't work, it may be something else you're doing (or not doing). Please provide details of your configuration. Your Mac's OS version, your server's OS and version, what protocol you're connecting to it with, etc.
If you don't know the protocol, then enter this single command in Terminal and press the RETURN key.
Post the output.
It wouldn't hurt to post some of the output of this command:
Include the output from the symlinks you created that refer to the remote avi files.
The 'mount' output is so we can see what protocol the network disk is mounted with. The 'ls -l' output is to see what the symlinks actually point to, and whether that pathname is the same as what 'mount' said.