Hi Zach,
I tried to replicate your steps and it worked for me. This error generally occurs when a file cannot be accessed by the program.
What version of ArcGIS Pro are you using?
Can you try a couple of things as well.
1. Run ArcGIS Pro as administrator. and try to add.
2. Copy to a different location and try to add.
3. Try on a different machine.
How were these files copied onto your machine? Did you download a zip file from the cloud and unzip the contents. Sometimes zip files are blocked by windows. After downloading , you would need to bring up the properties of the zip file and unblock it. Then unzip the contents.
This seems like an error from the OS. You can google 'winerror 5 access is denied' to see possible solutions.
Randall