Hi Rohit,
many thanks for the reply and solution. I also found another solution to the issue that appears to fix it:
If I extract the CSV file within the zip file using the "Byte" option, it doesn't enclose each line with "".
Import["20230101.export.CSV.zip", "20230101.export.CSV", "Byte"]
The resulting code was really fast, I was able to process about 6000 files in a few hours. The bulk inserts also worked really well with only 3 bad files (representing 3 days in about 20 years of data). It took a few hours to do all the bulk inserts. The resulting table has over 1B entries. Before I start playing with the DB, I'm going to look at other potential data sources to add. Thanks again for your suggestion.