Is *.DXF one of the available “Plot” formats? I thought it was under “File” > “Export”. This may be a case where the Nightly and Release versions differ.
Regardless, the *.DXF files produced by KiCAD used to be rather low quality. (Perhaps this has changed in recent Nightly builds.) Forum member @maui has written a Python script that works much better. See the last half of my post at Exporting DXF files .
Dale