What QFX is
OFX is the format behind the Download Transactions button on your bank's website. Version 1 is SGML, where a leaf element has an opening tag and no closing one. Version 2 is real XML. QFX is Intuit's variant of the same thing with a few extra tags, which is why a .qfx file opens in Quicken and is refused by software that only knows plain OFX.
Retail banks, credit card issuers and brokerages, because it is what Quicken and Microsoft Money asked for and the industry standardised on.
What CSV is
CSV is a text file where each line is a row and commas separate the fields. There is no type system, no formatting and no second sheet. Every value is text until something downstream decides otherwise.
Almost every database, analytics tool and spreadsheet can read and write it, which is why exports default to it.
What changes when you convert QFX to CSV
Each STMTTRN block becomes a row: date, amount, type, payee, memo, cheque number and the bank's own transaction id. The account number and currency come from the statement header and are added to every row, so a file merged with another still says which account it came from. Both the SGML and the XML flavour are read the same way.
Any value containing the delimiter, a quote or a line break gets wrapped in quotes, and embedded quotes are doubled. That is the rule in RFC 4180 and it is what spreadsheet software expects.
What carries over from QFX to CSV
OFX records 3 things about a table that CSV has no way to hold.
OFX distinguishes a number from the text of a number; CSV does not, so every value arrives as text and has to be re-parsed by whatever reads it next.
An empty cell and a missing one are the same thing in CSV, so a null and an empty string in the OFX both come out blank and can no longer be told apart.
OFX can hold a value that is itself a list or an object. CSV has only flat cells, so nested values are flattened into one cell rather than being spread across columns.
The result can be read a record at a time, and appended to by adding to the end of it. That is worth having for a table too large to hold in memory, and it means a CSV file that is cut off part way through still gives you every record before the cut.