Quicken rejects a QFX file
Quicken has to be not older than three years to import a QFX file. For example for year 2022, Quicken 2020 is the oldest Quicken that can import QFX files. For older Quicken versions, convert to QIF instead of QFX.
QFX files are Web Connect files, not QXF files. Import QFX files into Quicken through File->Import->Web Connect File under the main menu.