The FTP connection in Qlik Sense and QlikView is not very robust. It doesn't work against some FTP-servers and you get very non desciptive error messages.
If you get it to work til will not support getting them all in one shot anyway.
You alternative would be to use Qlik Web Connector and the sub-connector called Qlik FTP/SFTP Connector. This will do all you ask for and much more.
The Qlik Web Connector installation package is downloadable for Qlik partners and Qlik customers. The "Qlik FTP/SFTP Connector" is a standard connector which means that it is free - you don't need a license.