Ok, I got to the bottom of this. Normally a step file would open as a part file, however KiCad step file opens as an assembly in Solidworks. My assembly file template got saved somehow with that missing Solid_25 already included into it. Every single component opens as a sub-assembly using the same template with the same missing Solid_25 in it. I opened the template deleted Solid_25 and then saved it. Now all KiCad step files open just fine.
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