The SDF file is a CE database. You cannot restore it into SQL LocalDB nor SQL Express. You need to go through the conversion process to convert the SDF data into a format that can be inserted into LocalDB/Express.
In reality, this is not so much a “conversion” process. Instead it is a method that generates a SQL Script that contains all of your data, which you then “execute” in SSMS to insert your data into LocalDb/Express.
Specifically, you need to follow the process here… click the arrow on this quote to jump directly to the posting: