Mickeysoft introduced a vast number of gratuitous incompatibilities and
removed certain file dialogue functions in the move to XL2007. It was not
remotely stable until SP 2 and still has some interesting quirks.
You could be out of luck entirely with thousands of files in XL2007. I
have seen leakage problems when a few hundred are processed that way.
If you value your sanity I recommend sticking with XL2003 for this.