Well thing is that they are in many subfolders within a folder.... What I do on windows is do a search for *.lzx on the main folder so it lists all .lzx files in the subfolders... then I would click RMB > Extract here.... and it would extract all files.
Problem is that winrar doesnt support lzx either

All i need is a program that does (I just tried Zipzag which claims to support lzx but it doesnt work.)