The only way I know to do this is to covert the DXF to MI in Annotation or Drafting, then load the MI file into Modeling with File Type set to MI (*.mi,*.lyt). If I set the File Type to Import 2D, even *.mi files get loaded into Annotation.
The best way I've learned is to load the DXF file into Annotation with the File Type set to Import 2D. Then use the Edit>Copy command and box around the geometry you want to take to the workplane. Then go over to Modeling. In Modeling, use the Edit>PASTE SPECIAL command as choose OSDD 2D geometry. If you had boxed text in, an option would be to select Text, but you cannot paste text to your workplane in this way. Now the profile must be valid before you can extrude it, so some cleanup may be required at this point.