Robert, this is correct and expected behavior as probably your toolbox doesn't have the required configuration of fasteners used by your client.
Ask him to send you the toolbox parts used in this assembly. Replace the one on your machine with those parts and all files should open correct.
While sharing the same toolbox is the optimal solution, you should receive messages asking you to generate missing toolbox sizes when you open an assembly i guess this is not happening? If not also check Tools -> Options System Options -> Messages/errors/warnings and tick any that look likely to see them again
Also wondering, does your customer have their toolbox set to generate parts or configurations? This is set for toolbox items under the configure toolbox options, step 3
Also is this option under system options -> Hole Wizard/ Toolbox Selected? It was my understanding that this should correct such issues in most cases.
Finally what version of SOLIDWORKS are you running?