QuickBooks Desktop cannot import QFX files directly. If your bank provides a QFX file, you need to convert it to QBO first. Use ProperConvert to do that.
Load your QFX file into ProperConvert and select QBO as the output format. The app converts the file. Then import the QBO file into QuickBooks.

Not very different. Both are OFX files with added details. Some apps can import both as OFX files. QuickBooks Desktop requires the QBO variant specifically.