Very odd, they should all come in as a single image sequence and not as individual files. Go to the Media page, browse in the file explorer there in Resolve to INSIDE the folder where the sequence is stored, and the content will show as a sequence, which you then drag to the pool (and then swap to Edit and drag from the pool to the timeline). Also, while in Media, check the hamburger menu and ensure “Show Individual Frames” is unchecked, otherwise it will still show as a list of stills in there instead of a single sequence.
Only other thought is be sure the frames are numeric by having leading zeroes, ie you don't want to end up with 1, 10, 11, 12, 2, 3, 4 etc. so the number should be at least 01, 02, 03,...10,11... unless you are getting into hundreds of frames then be sure to have 001, 002, 003,.... and so on :)