When double click a QFX file, nothing happens
Quicken reads a QFX file and if it finds the account number on a QFX file is already "online linked" to a previously chosen account in Quicken, Quicken imports data into that account automatically.
If you are importing for different accounts in Quicken, use a different account ID when you convert to a QFX file. Quicken will link different account numbers to different accounts in Quicken.