I am testing Kicad 5.99 and I cannot find a quick way to move imported graphics (from a dxf) in other layers. Actually, this function is accessible editing a single item (e.g. segment or a polyline) but not a group of them.
Maybe it is my fault and there is a way to do it. In the latter case it would be nice to expose better this feature (maybe pressing E after a group selection?).
If a .DXF file is imported in KiCad-nightly V5.99 then all the graphics is placed in a group.
You can “enter the group” (or ungroup / explode it) and then change layers of individual items.
[Edit:]
In the dialog above the Filters / Only include selected items does the trick. You have to make a selectrion (and have it active) before you go to the edit text and graphics properties window.