All of the files, with the exception of Perdido Street Station work fine.
The problems I've been having were caused by using calibre to upload the files to my PRS-505. It damages the files when trying to change their metadata.
Try uploading the files with the official Sony software or Abode Digital Editions. It worked for me.
Regarding Perdido Street Station, the file that contains the part 2 headline, also contains the entire text of part two. The entire text of part 2 is also available in individual chapter files, so this is a case of text duplication.
The same is true to parts 3-7.
To fix, just extract the epub file, and edit OEBPS/html/p2.html
Delete everything below the <h1> element with the title, and add </body></html> to the end of the file.
Do the same for the p3.html to p7.html
Now you need to zip the files. Since it's an ePub file, it requires special care when zipping -- the mimetype file has to be in the beginning, uncompressed.
Using unix tools, go to the directory where you unzipped the ePub and use these commands to re-create the ePub file.
zip -v0X perdido-fixed.epub mimetype
zip -vr perdido-fixed.epub * -x target.epub mimetype
My Sony Reader can now read the file successfully.
I have emailed those instructions to Macmillan