Help using SQL Server Database Experimentation Assistant for performance testing
I end up with dozens of 500 MB files at the end of the capture.


Yes I agree the documentation is wrong and you cannot configure file size. You can only configure duration. 500 MB is by design and recommended here and here. 200 MB or 512 MB is the ideal trace rollover size to use to capture production or performance traces. Second link give you few reasons why this is the recommended size. One of them is: 


If you use our "published" versions of production and performance
trace definition files and the performance trace definition filters
out the traces for one database of interest, analysis shows that the
Performance Trace size is about 15 times larger than the Production
Trace size.



  Then I am expected to sit there and replay each trace file, one by
  one. Is there any easier way of doing this, or of forcing the trace
  file to grow larger so I end up with less rollover files?


You do not need to process each file individually. In Full path to source File instead of individual file, give the folder name where your raw trace files are located. Tool will create a new sub-folder named PreProcessOutput and put all Replay Markup Language (RML) files there.



On a side note hopefully you configured your Distributed Replay successfully.