I think you may have misread the supported file types. QFX is one of the supported formats but not QXF which is a proprietary format for transferring data between Quicken versions. To extract data from Quicken that can be imported into Moneydance it is necessary to export into QIF format.
Many people have successfully transferred from Quicken.
See the set of articles relating to this topic at http://help.infinitekind.com/kb/importing-data-from-other-programs When you follow the steps in the article above make sure you follow the steps accurately, in particular, make sure you specify to Import into a new account rather than an existing account. Also make sure you set the source to "From another program".
It is highly recommended to export all data into a single QIF file, as doing so makes the import process much smoother. Please use the option in Quicken to export "all accounts" if available.
Quicken does not always export the initial balance for each account. After importing into Moneydance, highlight an account, click on ACCOUNT – EDIT ACCOUNT and set an “Initial Balance”. Do this for each account.