SQL Server Database Experimentation Assistant Analysis Reports
I contacted Microsoft support in regards to my question.  They informed me that even though you only select 1 .xel file all .xel files in the directory are processed and you can verify it in the log.


DEA Information: 0 : DiagnosticEvent, 05/08/2020 16:32:47, Data: {"Message":"Processing file 1 of 7
DEA Information: 0 : DiagnosticEvent, 05/08/2020 16:33:20, Data: {"Message":"Processing file 2 of 7
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DEA Information: 0 : DiagnosticEvent, 05/08/2020 16:36:03, Data: {"Message":"Processing file 7 of 7



They are planning on making this more transparent in a future release.