this is happening because in this case syntaxis is slightly different in QlikView and Qlik Sense.
In QlikView you can load data with the following syntax LOAD * FROM [C:\Users\olginam\Desktop\Data\*.qvd] (qvd)
However, this will not work in Qlik Sense, because Sense introduces the concept of libraries. In Sense every data source is a connection. In data load editor, in the right part you will find your connections (it can be pretty much anything: a folder, an oledb/odbc connection, etc). Here you create a new connection, selecting folder as type and then you just have to find the needed folder within your files.
So basically the difference between QlikView and Qlik Sense is that in View you make reference either to the full path or to a relative path without having to configure a connection. In sense you have to create the connection to the folder and when you load data you make reference to the connection name (with the lib: part) instead of the file path, so it would be like this:
LOAD * FROM [lib:\\YourFolderConnection\*.qvd] (qvd)
hope this helps,