The error message means your Quicken is too old for QFX import or QFX file is not correct or not acceptable by Quicken. If your Quicken is not older than years, use Bank2QFX to convert your QFX file into importable QFX file.
For older Quicken, use QFX2QIF or Bank2QIF to convert to importable QIF file.
This usually means your QFX file is not correct (incorrect QFX format, unacceptable INTU.BID number for your Quicken country version (Canadian vs US version)).
Use Bank2QFX to make your QFX file importable (set correct INTU,BID or leave default for your Quicken country edition).