That file loads fine for me in 4.0.6 and today's nightly. OpenSCAD decomposes to lines anyway, and the DXF contains lines (no arcs or polylines), at least it does with the version I use (2015.03-1) There are some options in OpenSCAD to set the effective resolution, e.g. $fs.
This may be a bug to do with localisation, i.e. "," instead of "." in numbers, as it appears the values are being truncated to integers.
I edited the file to remove fractional parts and it looks like your picture
Therefore I would say this is probably a bug in KiCad DXF parser. I don't know if DXF has an option, or if it always uses decimal point for numbers. I would raise an issue on the bug tracker, also attach your DXF file, and mention you are using non-English KiCad.
Try loading this file donut_pcb_comma.dxf (15.2 KB) - decimal point converted to comma, it might go horribly wrong, so make sure changes are saved