Hmm.. I got the same thing as your second example—GB went through the motions, but never actually imported more than 3 files out of the 5. It was the same whether I created destination tracks in advance, or just let GB create them. It looks like it should work, but since GB lacks the Logic MIDI import dialog box that lets you choose what to do with individual MIDI files (and apparently even lacks Logic's option to create multiple tracks in one go), maybe GB isn't really set up to do that after all. (I couldn't find any mention of importing multiple MIDI files in Apple's GB docs)
What did work was importing a single MIDI file with 5 tracks—the import correctly pulled out all the separate tracks in the SMF to individual GB tracks. (I still had to assign the correct instruments, but I'd guess that if the MIDI tracks had included embedded program change messages GB might have assigned appropriate GM instruments)
If the multiple MIDI files are all from the same session, and you have access to the source, you could save them all as a single MIDI file and import that, which seems to work. But if they're different MIDI files from different sources, it seems like you may have to bring them in one by one..