Correct - we removed the ability to load an entire folder like that. The feature was broken in many ways and had several caveats.
The proper approach is to create a VRT using the gdalbuildvrt tool. VRT is a format that creates a "virtual dataset" out of multiple files. (This is essentially what 2.x was doing before anyway.) Something like:
gdalbuildvrt myfile.vrt *.dt1
Then you should be able to just load "myfile.vrt" in your GDALElevation layer: