"Unfortunately, for those months, the software which generated the text files, add a "0" at the left of the month field"
Actually you should be very happy that that software uses a leading zero, because this means that the filenames will sort into the chronological order using a simple character sort. If there was no leading zero it would be a very complex task keeping them in the correct order. You really are very lucky!
In any case, you could simply specify the format with num2str to ensure that your names also use leading zeros:
>> num2str(2,'%02d')
ans = 02
However you have much bigger problems than this. Your basic concept is very confused: you are get a list of filenames using dir but then you do not use those names except for defining how many loop iterations to make. Instead of using those names (and parsing them to extract the date info) you awkwardly generate new filenames which do not even exist.
Stop mixing your code up like this. Use dir, preallocate some output arrays (numeric, cell, struct, table, etc) as required, and add the data when you read the files. In this way it would be easy to ignore missing months, and you would solve all three points that you list in your question.
How to read multiple files is explained extensively in the documentation, on this forum, and in the wiki:
etc. You can also find some examples with my FEX submission natsortfiles:
I would reccomend that you do something like this, which I tested on your sample files:
S = dir('*.txt');
N = sort({S.name});
% Read file data:
C = cell(size(S));
for k = 1:numel(N)
C{k} = dlmread(N{k});
end
% get dates:
R = regexp(N,'^\d+','once','match');
... etc
