You can import vector graphics from SVG files (XML graphics) to MS Visio and use the vectors for shapes that can be used for making objects or diagrams in the program. This seems to be the only reliable way to achieve svg to vsdx conversion and can be simply achieved by the programs File ► Save as.. menu.
Convert XML based scalable vector graphics format to Microsoft Visio drawing.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert svg to vsdx on Windows
A vector based diagramming software from Microsoft
Convert from svg 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.