It looks like the requirement is not to run the macro on exit. The OP said they want to run it on the click of a command button.
I would store the path to each associated xl file in a property for each of the CCs (such as the Tag property). Then the code associated with the Command Button would be this sub. You will also need the function because it is checking the filepath actually exists before trying to open it.
Code:
Sub OpenCheckedCCs()
Dim aCC As ContentControl, xlApp As Object, xlWkbk As Object
On Error Resume Next
Set xlApp = GetObject(, "Excel.Application")
On Error GoTo 0
For Each aCC In ActiveDocument.Range.ContentControls
If aCC.Type = wdContentControlCheckBox Then
If aCC.Checked And fFileExists(aCC.Tag) Then
If xlApp Is Nothing Then Set xlApp = CreateObject("Excel.Application")
Set xlWkbk = xlApp.Workbooks.Open(aCC.Tag)
xlApp.Visible = True
xlWkbk.Activate
End If
End If
Next aCC
End Sub
Function fFileExists(sPath As String) As Boolean
Dim fso As Object
Set fso = CreateObject("Scripting.FileSystemObject")
fFileExists = fso.FileExists(sPath)
End Function