It doesn't look like the macro is attached here to your workflow, but most likely what is happening is that you are just reading in the fullpath of the files, but not an explicit sheet. If you are reading the same sheet in from all of these files, you will want to use a formula to add |||SheetName$ to the end of the fullpath so that the macro knows exactly what sheet to pull from the file.
If you are looking to pull in every single sheet from every single file, I might suggest that you instead look at using this macro which has that functionality built in: https://community.alteryx.com/t5/Engine-Works/The-Ultimate-Alteryx-Holiday-gift-of-2015-Read-ALL-Exc...