I think (but I am not 100% sure) that the filename "" is because we are using TStreams instead of loading directly from a filename. When loading from a stream, FlexCel doesn't know the filename, and there might be in fact no filename at all (if for example you were loading from a TMemoryStream).
In FlexCel 6 there are some extra guesses to get the filename when loading from a stream (so we test if the TStream is a TFileStream for example), but at the end, it is not always possible to know the filename as there might be no filename at all if you are loading the file from memory or a database.