It’s a fairly common base game issue as they tightened down on “placing security”, however if you’re using mods then Multigun’s LBPR can disable most of these new checks and allow you to place them pretty much anywhere
To do so, install LBPR (less building placement restrictions), install Mod Control Panel, then log into your game with admin and hit shift+End to bring up modcontrolpanel then scroll down to the follower options
(As a side-note, enabling the very first checkbox to allow everyone to build everywhere will also allow you to place thralls in dungeons or forbidden areas like UC)