As others have noted, specifying a command line argument for user-data-dir only works when Brave is launched via a shortcut. When it’s invoked by clicking on a link in some application, that does not apply.
So one can change the command key for BraveHTML as desired, plus two other registry locations, and all is fine. Until the next Brave update, which overwrites those keys!
The workaround is to re-merge the desired key values, prior to re-launching Brave.
This request is for Brave to not overwrite the keys if they already exist.