Follow the steps below to correctly import CAD assembly containing multiple assembly files:

Part 1: In case the .zip only contains one assembly file (with multiple parts)

Zip the part and assembly files on your computer, it's important that the contents are in the root of the .zip file.
Upload the Zip file to the Asset Library (Drag and drop.) This Zip File will appear in the 3D Asset Optimizer as "Processing CAD".
Once the file is processed, it will be marked as "Done".
In "Additional Info" you can see which default processing commands have been applied to the process
The result of this default process is listed in the Asset Library as an "Initial" file under the uploaded .zip file
First, test the "Initial" file to see what file has processed. If there is only one assembly file (eg. Solidwords .sldasm), Create will process that file as initial.

You can see that the file correctly processed, and that all .sldprt files have been correclty added to the .sldasm, as they were part of the same .zip root.

Part 2: In case the .zip only contains multiple assembly files (with multiple parts) or in case you want to select a specific part in the assembly

Right click on the imported .zip file in the Asset Library and "Optimize asset".
Select Source File "None" and select the preferred "Root File" you would like to process from your uploaded .zip file.
This will automatically rename the New Name to ".zip name" - "Root File Name", but you can also update the name to your preference.
If you wish, you can also add additional operations to your preference in the "Advanced" tab (eg. to further reduce object and triangle count, or to do generic operations like remove materials).
By default, Create will apply the same basic operations as your would have on a fresh import.
Press Confirm when ready.
In this case I reprocessed an .sldprt file, which shows up like this in the 3D Asset Optimizer while processing:
The processed file will appear as a new file in the asset library, ready for use in Create.
A final look by dragging the asset in the Step Hierachy, show that the file processed correctly.