Currently, when you manually import BAI2 statements, there is an option to select "For multiple bank accounts in all legal entities" assuming your one file from the bank contains bank statements from different D365 legal entities. This way, D365 will load the bank statements into the correct D365 legal entity. However, when using recurring integrations (DMF) to automatically load the same BAI2 files, the files need to be for the specific legal entity being imported into. This is due to the structure of DMF as it cannot handle cross-company imports.

There should be a way to load BAI2 files with different legal entities through an integration.