In practice I think downloading many small files is actually slower than a single bigger file. It might not be so true today with http2 for example though.
HTTP/2 definitely changed that and is near-universally supported now. The biggest win is the ability to cache things independently: with bundles your servers and clients have to retransfer everything if a single byte changes, and most of the sites I’ve worked on don’t change most of their files every time they ship an update. A cold visit will usually be immeasurably different from a bundle but a warm visit is noticeably faster.
In the specific case of JS import, it's still going to be pretty bad though, I guess, since you have to download a file, parse it to figure out the deps, then fetch them, parse them, etc, so you are limited in what you can do in parallel.
That’s what `modulepreload` &co is for. It’s a shame HTTP Push is dead, it was a much more general solution. But specifically for web pages the solution is more or less the same + 1 round trip (you won’t get the benefits of “push” until you at least process all the head>meta tags).