Please use some critical thinking. If you have not loaded a save file, then whatever save file is currently loaded by default is your current save file. PKHeX supports all of the interconnected games; it does not read your mind or change the save file when loading a PKM.
You do not have a Legends: Arceus save file loaded. No games besides Legends: Arceus can legitimately receive PA8 files. The error message is telling you that the file is unsupported for what you currently have loaded, or is corrupt.