This does work, example configuration below. The statement after the link-local address and the "%" was the critical bit for me.
Tested on Cisco 15.2(4)M11 - Advanced Enterprise
R1#sh run | sec bgp
router bgp 65001
bgp log-neighbor-changes
neighbor FE80::2%FastEthernet0/0 remote-as 65002
!
address-family ipv4
no neighbor FE80::2%FastEthernet0/0 activate
exit-address-family
!
address-family ipv6
neighbor FE80::2%FastEthernet0/0 activate
neighbor FE80::2%FastEthernet0/0 soft-reconfiguration inbound
exit-address-family
!
router bgp 65002
bgp log-neighbor-changes
neighbor FE80::1%FastEthernet0/0 remote-as 65001
!
address-family ipv4
no neighbor FE80::1%FastEthernet0/0 activate
exit-address-family
!
address-family ipv6
neighbor FE80::1%FastEthernet0/0 activate
neighbor FE80::1%FastEthernet0/0 next-hop-self
neighbor FE80::1%FastEthernet0/0 soft-reconfiguration inbound
exit-address-family
!
This link was helpful: https://community.cisco.com/t5/networking-blogs/lab-mp-bgp-attributes-manipulation-and-route-redistribution/ba-p/4628153