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When ever I select multiple .stl files, they merge into one object. It looks like the individuals are somewhat aligned on their center of gravity and placed at the locus of the relative bed center.
I was expecting them to be handled individually. Here is a screen shot of 5 objects I tried to load together.

Have a look at "Preferences" -> "File Handling"
There you can switch it off.
It is to support multi material printing

Thank you E!