Sadly there seems to not be a work around to have Sony Vegas support MXF files, you will need to use a converter of some sort to convert those files to MP4, WMV and other formats supported by Vegas. I usually use the MP4 format these days.
Another thing I found online was that MXF recordings are not supported by Vegas Pro directly. To get your 4K or 1080P MXF videos accepted by Vegas Pro, you’ll have to transcode MXF to Vegas Pro friendly video format like H. 264 or MPEG-2 with a video conversion software.
I also use the YTD Video Downloader app to convert files to MP4 as well, there could be others that can help. But MP4 I highly recommend more since it it maintains the quality depending on where you wish to have it uploaded and for which device. Hope it helps.