Are you saying you have ONE 1000 frames sequence (.0000.prt to .0999.prt)?
In that case, you simply pick ANY frame from the sequence and the frame number will appear as .####.prt in the list. If you move the time slider, the #### will be replaced automatically with the current frame, and you have full control over what frame will be loaded via Playback Graph controller and/or Offset.
You are NOT supposed to pick every frame from the sequence into the list. The reason you CAN pick multiple files is that A) we support the merging of multiple sequences and B) you can load single files (by checking “Load Single Frame Only”). So if you pick frame .0000.prt and frame .0042.prt and check “Load Single Frame Only”, BOTH will be loaded on EVERY frame at the same time, and their frame counters in the file names will NOT be shows as #### but as the actual frames you picked.
The PRT Loader even provides a >> menu with access to the File Sequence Manager. In that dialog, you can even pick a folder and add every UNIQUE sequence found in it. Another option lets you pick a root folder and add all sequences from all sub-folders recursively. But only one frame will be added from every uniquely named sequence, so you won’t get 1000 entries for the 1000 frames of your single sequence.
Hope this helps. Not sure where this misunderstanding comes from, since this is all documented pretty clearly.