After Effects 2020 not importing the required file
This is After Effect's automatic behavior any time it encounters more than one file with sequentially-numbered filenames. It's trying to import them all as entire file sequence. This effectively imports every file, but presents them all as  one single animated footage item, with each file representing one frame.

The solution is that in the "Import File" dialogue box, highlight one or more Illustrator files, and then deselect the checkbox at the bottom named Illustrator/PDF/ESP Sequence.