If a New Project is created and files imported using drag & drop, the file names are NOT copied to the track labels. If a New Project is NOT created, dragging and dropping to the opening screen, the file names are copied to the track labels.
In Audacity 3.7, multiple tracks are automatically sorted into filename order but in Audacity 4, they are not and there doesn’t seem to be an option for sorting tracks similar to that found in Audacity 3.7