As pointed out, the problem is the last line doesn't always have a trailing CF/LF causing the text (or filename) to be appended to the same line.
I tried foxidrive's code, unfortunately it does not work.
Also my files are on a network, so want to know if it is possible to tweak the below line of code to add a CF/LF
FOR %G in (*.fex) do echo FILENAME:%~nG>>%G
Thankyou