A similar topic was posted previously but I use a work-around which was not mentioned.
The work-around is helpful when importing dxf objects and changing multiple objects layers. When importing a dxf Pcbnew will prompt with options. The default layer is Dwgs.User. Instead toggle the layer to the preferred layer.
It’s not a tremendous amount of work but I will import the dxf multiple times and toggle the layer specific to the required layer.
In time I hope Kicad will include multiple selected object layer change functionality.