Is this a 4D CT? It seems that the data set has been anonymized and maybe it was done incorrectly.
In 4D CT acquisitions, typically all frames are in the same series and you seem to have many series.
There is a fallback mechanism in the multi-volume DICOM importer in Slicer that can still load the data as a time sequence, but you need to select the whole study (all the series) and certain criteria must be met (number of frames and frame positions are the same for all time points; frames can be grouped based on one of the known frame grouping tags, etc.).
If selecting the study and loading results in loading of many individual frames then check “Advanced” section, click “Examine” to see what options are offered for loading and report back to us.
You can also create a volume sequence from a set of volume nodes in the scene using Sequences module in Sequences extension.