The DXF import capability in KiCad does not support DXF
features like POLYLINES and ELLIPSIS;
any POLYLINES need to be split (Exploded) and your DXF has to be saved in R12 version/format
have a look at:
http://docs.kicad.org/en/pcbnew.html#_creating_a_board
at the paragraph
‘6. Create and modify a board’
‘6.1.2. Using a DXF drawing for the board outline’