If this case is as simple as stated (all target file names begin with "dat") then either method works and both are easy to use. (One method to find a matching filename is based on character functions and the other method is based on regular expressions.) If, in fact, the case is not simple or becomes more complex over time, the first approach might become more difficult or even impossible. That case is where regex would be a superior approach.
(Note that JMP also defines 'patterns' of text with a full compliment of functions to make patterns and use patterns.)
I don't think that regular expressions are frustrating. The syntax of regex is simple enough. I think that using regex or any similar method to find target patterns in real-world text is frustrating. But that is because of the mess in the unstructured data rather than the tool. If you must analyze text, then knowledge and skill with regex is valuable.