Just tried solution from souvir (see Thread "Multiple DSP Builder designs with conflicting VHDL" from NickG - sorry, unable to post links as having <5 posts here) to put all HDL Files generated by DSPBuilder into the same directory. Files with unique names and entities are being overwritten - but I checked for those and they are identical - so no matter at all.
Including the --library <my_lib> switch in each source file of separate modules, Quartus will compile without issues :)
So this is a work-around if anyone wants to avoid using boxed .qxp modules, allowing access to all design nodes within DSP Builder system. If qxp blocks are ok, just use top_qxp_export as described in Altera Wiki.