Nope. Qlik Sense can't display message boxes. I suppose you could write a test routine that creates a list of excel files, then tries to load the first record. That will either succeed or fail. If you set the ErrorMode variable to 0 first then you can test after each load if an error occurred and log the file name to a table. After the load you can display the records of this table to see which files failed to load. Something like this:
SET ErrorMode = 0;
For vFile in FileList('LIB://MyExcelFiles\*.xlsx')
LOAD * FROM [$(vFile)] (xlsx, ...etc);
If ScriptErrorCount>0 Then
LOAD '$(vFile)' as FailedFile AutoGenerate 1;
SET ErrorMode =1;
NOTE: the above is untested. You can debug it yourself
In your script, set the errormode =0, so Qlik will ignore any error and continue script execution. Then you need some script to log the error manually after any excel load command. For example:
Set ErrorMode = 0; //Any Excel load Load * From [FileName]; // Log Error ErrorList: First 1 Load Date(today(),'YYYYMMDD') As ExecuteDate, 'File Name' As FileName, '$(ScriptErrorCount)' As Error_Seq, '$(ScriptError)' As ErrorName, '$(ScriptErrorDetails)' As ErrorDetail AutoGenerate 1;
Then after reloading, you just check the ErrorList table.
Hope this helps.