How to import .MXF files. which is separately recorded audio and video
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You should be able to open each one and add them to your project. There is no way to create groups of clips yet in Shotcut; so, you will not be able to make them into a compound clip outside of putting them each into a track on the timeline, save that as a project, and then use that in another project with File > Open MLT XML as Clip… If you do, ensure that you use the same Video Mode. I am not sure that is worth the effort or not; you can try and decide that for yourself.
When I saw this problem, my first reaction was that you might be able to combine video and audio into one file. I mean you can play the audio and video together, then use a video recorder(such as Obs, Bandicam, Camtasia, RecMaster, Flashback, etc. ) to create a new video. After that, you can import the video into Shotcut. Hope this can work.