I've been having this issue for a little while now and despite having googled it a bit, I've found no similar problems. Basically, I can import a single STEP file successfully, after which I'm prompted with the following error message:
The following file names entered were invalid, not found, locked or of an incompatible type
The import fails and I have to completely restart Solidworks to be able to import anything again. As you see, this can be quite frustrating when you need to import multiple files.
Interestingly, this happens even if I try importing the same file over and over. I have tested it with other formats, like STL and I am able to successfully import several files without any issue, so I can only replicate this with STEP files on both (AP203 & AP214) formats.
I'm currently using Solidworks 2018 Professional.
Any help would be greatly appreciated!