Why place all the checks in different worksheets? If the companies are small enough to use a bookkeeping service, couldn't they get all their checks onto a single sheet? Excel's filters make it easy to isolate a day's transactions.

The same code is used for an import, regardless whether you are using Excel or CSV text files. There are no worksheets in a CSV file, so having the prompt would be awkward.

Perhaps you could write all the worksheets out to a single CSV file. Have you tried that?