question

Hi Citrus, your solution is actually not working, because isDone = true in OnGetFileMeta will run immediately before GetActualFile operation is completed, since GetActualFile is yet another asynchronous call.

However, I have gotten some inspiration from your answer and I have found a solution to this problem - I will share it in case other users require it in the future. (Its a bit lengthy but please take the time to read carefully if you have the same problem, the solution is definitely in here)

// You don't have to care about this, just providing some context to make it less confusing
public class MyEntityFile
    {
        public string filename;
        public string downloadURL;        
        public MyEntityFile(string filename, string downloadURL)
        {
            this.filename = filename;
            this.downloadURL = downloadURL;            
        }
    }
    List<MyEntityFile> myEntityFileList = new List<MyEntityFile>();
    int numOfFiles = -1;        // This will be used as the condition to keep the coroutine running, 
    public bool getAllFilesHasError = false;       // This will store the state of the get files operation, so we know if there is an error.

 void OnGetFileFailure(PlayFabError error)
    {
        numOfFiles = myEntityFileList.Count;        // Set the numOfFiles = myEntityFileList to prevent infinite loop
        getAllFilesHasError = true;                 // Set the error state, so we can handle it somewhere
        Debug.LogError(error.GenerateErrorReport());
        GlobalFileLock -= 1;
    }

    public IEnumerator LoadAllFilesCoroutine()
    {
        if (GlobalFileLock != 0)
            throw new Exception("This example overly restricts file operations for safety. Careful consideration must be made when doing multiple file operations in parallel to avoid conflict.");
        GlobalFileLock += 1; // Start GetFiles
        var request = new PlayFab.DataModels.GetFilesRequest { Entity = new PlayFab.DataModels.EntityKey { Id = entityId, Type = entityType } };
        PlayFabDataAPI.GetFiles(request, OnGetFileMeta, OnGetFileFailure);      // I changed the error function to a custom function to prevent potential infinite loop
        yield return new WaitUntil(() => myEntityFileList.Count == numOfFiles); // We will wait for this operation to complete ONLY if we receive all the entity files
        // You can perform your operation here, at this point, all entity files will be added to your list
    }

    void OnGetFileMeta(PlayFab.DataModels.GetFilesResponse result)
    {
        Debug.Log("Loading " + result.Metadata.Count + " files");
        numOfFiles = result.Metadata.Count;             // result.Metadata.Count contains the number of file we have in our entity database, we want to set this number as our condition, we will keep waiting until our list become as big as this number - which signify that it has added all elements
        _entityFileJson.Clear();
        foreach (var eachFilePair in result.Metadata)
        {
            _entityFileJson.Add(eachFilePair.Key, null);
            GetActualFile(eachFilePair.Value);
        }
	// You can't set the condition here as it will run before GetActualFile Operation is completed        
        GlobalFileLock -= 1; // Finish GetFiles
    }

    void GetActualFile(PlayFab.DataModels.GetFileMetadata fileData)
    {
        GlobalFileLock += 1; // Start Each SimpleGetCall
        PlayFabHttp.SimpleGetCall(fileData.DownloadUrl,
            result => {
            _entityFileJson[fileData.FileName] = Encoding.UTF8.GetString(result);
            GlobalFileLock -= 1;
            // Grabbing the file name and download url here and adding it to my list
            myEntityFileList.Add(new MyEntityFile(fileData.FileName, fileData.DownloadUrl));                     
            }, // Finish Each SimpleGetCall
            error => { Debug.Log(error); }
        );
    }

The idea here is that I am using the number of files as the condition on when I want to end the function. If the number of elements in my list != the number of files we have in the entity database (we can find the number of files in result.Metadata.count) we will yield return new WaitUntil (to keep waiting)

Bonus

If you want to run some code after all the files are loaded, but you don't want to put the code within the coroutine, you can do this

IEnumerator DoSomethingAfterAllFilesAreLoaded()
    {
	// This will load all the files
        yield return StartCoroutine(LoadAllFilesCoroutine());
	// From here onwards, all files are loaded
        // You can do something with the file list or any other data you have collected in the coroutine
	// i.e. loop through your entity file list	
	foreach(MyEntityFile myFile in myEntityFileList){
		Debug.Log(myFile.filename);	// This will print all the filename of the the files you have loaded previously!
	}
    }

I hope this is helpful for someone.

Thanks so much to Citrus for the inspiration to this answer. Cheers!