Yes, as Lorna says. .kmx files have a certain level of convenience for the keyboard developer but others pay for the convenience, due to lack of documentation, on screen keyboard, and often fonts. We made a decision early on to only support .kmp files for installation in macOS for this reason. The keyman.com website now only distributes .kmp packages as well; plain .kmx files were a continual headache for us to support as in many cases the original developer was no longer available and we had to reverse engineer them in order to help users.
It is very simple to create a package for a keyboard in Keyman Developer, and using a .kpj project file in Developer, you can build both keyboard and package in a single step. You can build keyboards and packages within Keyman Developer IDE or from the command line with kmcomp, on Windows, macOS and Linux. So I really feel there is no real blocker for power users such as yourself to start using .kmp files.
One last thing. Keyman 10 will support installation of .kmp files on iOS and Android as well as on Windows and macOS. These packages will need to contain the compiled .js file, in order to be compatible with mobile devices, but this means a keyboard developer can distribute a single file for all platforms. This, I think, is a pretty good reason to start getting used to sharing .kmp instead of .kmx files.