That is correct, textures cannot automatically be loaded into DCC software such as Maya, Houdini, Unreal, etc without manually renaming them. Most programs expect the naming convention above, i.e.:
<filename>.<UDIM value>.<format extension>
As specificed here: https://learn.foundry.com/modo/901/content/help/pages/uving/udim_workflow.html
Once the textures are manually renamed, they load correctly.