Working with UDIMs in Blender is very straightforward.

If your textures use the Mari UDIM style and the filename is: Diffuse.1001.tex, you need to set the Atlas Style to UDIM (Mari) and in the filename parameter, use Diffuse.<UDIM>.tex for the textures to load into their correct UDIMs.  

Note : <UDIM> can be in either UPPER or lowercase <udim>

A Mari UDIM example for the first UV tile would be Diffuse.1001.tex where "1001" replaces <UDIM> in the texture filename. 

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