Please enable ArcGIS Pro to automatically import an MXD file with "Open With" from a file browser.
This means enabling ArcGIS Pro to allow an MXD as an input parameter in the file name position. If an MXD is present, Pro would recognize that it's an MXD and import it. Seems simple enough.
Currently in ArcGIS Pro, in order to import an MXD you must open ArcGIS Pro, select an import function and browse to the MXD and do the import. The suggestion above would save this tedium and extra steps.
Here's an example: