Both the VSX and VSDX formats are from Microsoft Visio, so it would be natural to assume that users can import *.vsx files (stencil shapes) to the program and use them in a new or existing Visio drawing (*.vsdx). If you do not own Visio, there is a trial version available at Microsoft website.
Convert Microsoft Visio stencil XML file to Microsoft Visio drawing.
We found one software available in the database for this conversion.
Microsoft Windows software - convert vsx to vsdx on Windows
A vector based diagramming software from Microsoft
Convert from vsx file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.