What code should my batch file have to merge multiple CSV files into a new single Excel workbook, but each CSV file to have it's own sheet?

Just to get rid of misunderstandings. you don't want to merge the data to one table (worksheet), but you want to have separate worksheets with the same header for each of your csv - files inside one excel document?

Since you are downloading the csv files already with a python-script, you could use the csv module to read the files and afterwards copy them using the openpyxl module to separate worksheets in an excel document.

Below you have to change the 'data/' subfolder to your location and set the csv-delimiter to your csv's delimiter:

import os
import csv
import openpyxl as xl

files = ['data/'+ f for f in os.listdir('data')]

wb = xl.Workbook()
wb.remove_sheet(wb.active)


i = 0
for ff in files:
    with open(ff) as f:
        i += 1
        ws = wb.create_sheet(f'File {i}')
        reader = csv.reader(f, delimiter=',')
        for row in reader:
            ws.append(row)

wb.save('file.xlsx')

one can load the .csv files from a directory and combine them all into one .xlsx excel file, each content of the.csv file on separate worksheets. Here's the code using Pandas:

import pandas as pd
import sys
import os
import glob
from pathlib import Path

extension = 'csv'
all_filenames = [i for i in glob.glob('*.{}'.format(extension))]

writer = pd.ExcelWriter('fc15.xlsx') # Arbitrary output name
for csvfilename in all_filenames:

    # in case your locale settings use , instead of a dot
    txt = Path(csvfilename).read_text()
    txt = txt.replace(',', '.')

    text_file = open(csvfilename, "w")
    text_file.write(txt)
    text_file.close()
    
    print("Loading "+ csvfilename)
    df= pd.read_csv(csvfilename,sep=';', encoding='utf-8')

    df.to_excel(writer,sheet_name=os.path.splitext(csvfilename)[0])
    print("done")
writer.save()
print("task completed")