I've tried it in the newest build of AIMP and it still doesn't work (without Leo's script) for me in Opus (it does in Explorer). Perhaps some combination of settings under "File adding" is required (except option to append new files to current playlist, I don't want that)?
I've encountered this problem with Winamp originally in 2012 (and Leo had also provided a script): Opening multiple files problem - #7 by bytespiller
Here are some of the more technical explanations from there:
From what I've looked at today, the issue is from the way Opus handles programs that register themselves in a particular way, which Winamp (and a handful of other programs) use, and a difference in how Opus handles the context menu vs pushing return to launch files.
And perhaps this (but could be out of context here):
Part of the problem is that Opus can override double click actions, and it's also complex (and not really documented) to work out exactly what the OS will do for each file before actually doing the standard action.
Changing this would risk breaking several other things, so we'd be reluctant to do so. I'm not being lazy here btw, I spent an entire day looking at it last week before deciding the workaround script was a better way to solve the winamp problem.