Have you tried copying (Select All) from the xml document you opened (in Finale) and then posting it into a similarly configured new empty document set up from the Jazz Document Style?

I tried a bit with the templates in my trial version. I have some difficulties with the chord types after copying the material into the jazz document.

How to setup a proper jazz document in advance?

If I write "Cm7" :

it results in:

… I have some XMLs here. After having importing these into Finale, …

This is a misunderstanding.

You can not import anything into Finale.

You can only import into a Finale document.

When importing a MusicXML file, Finale opens a Default Document, and imports the XML into that Default Document.

To import a MusicXML into a Jazz font layout, first go to

Preferences - New

and specify the Default Document.

(If no Default Document is specified, Finale will use the document Maestro Font Default.)

Since you need Jazz font, type the following document name into the field Default Document:

Jazz Font Default.musx

Click OK to exit the Preferences.

Now, you can import the MusicXML file:

File menu > Import > MusicXML…