I did an Amazon download too, after Amazon's subsidiary Goodreads lost all my data of 9 years. I'm grateful for how the GDPR and the CCPA mandate that companies provide data downloads. Amazon is clearly doing the bare minimum to comply. Other companies do more; Twitter's data download comes with a fully working offline Javascript app for reading and searching your tweets!
It would take Amazon almost no effort to make a single archive with all those files in.
I cannot help but view this as deliberate obstruction.
For others that may be interested by the data you get, it is quite detailed, I would recommend to use VisiData that make it really easy to navigate inside zip files and csv the files inside (most often a single file).