Hi @SR VSP ,
In order to get a better forum experience, we changed your answer to a comment.
Per my test I use the “Link” web part, not the “Quick links” web part.
For the “Quick links” web part, the setting to open the file in the client does not work, for more detail information, please refer to
As a workaround, it's suggested to add "Document library" web part directly or use "Link" web part to open file in office client.