Cannot get it functioning with simple UDIM based OBJ

Grab this:

And see if you can:

Import Mesh…
Save File as…

Then see if you can:

Make a Paint layer for each UDIM
Flood fill simple material for each UDIM
Export Material Bake for entire model to 16 bit OpenEXR files for all UDIMS.

I have been making CGI for a living since 1998, and these should be trivial operations.

But they do not seem to be covered in the Manual.

This could help
Just CTRL+F udim