I'm also on 4.0.6 on Win64. I just tried importing and it worked in both pcbnew and the module editor. For me even though I specified importing the DXF origin to Center of page, it came in attached to my pointer waiting for me to place it. (FWIW, I was importing into one of the yellow layers simply to make it easy to see. I forget which one, but it might have been one of the ECO layers. I'm not sure that made any difference.)
Import into pcbnew:
Import into module editor:
Note that the anchor point is different even though I used the same import settings... Both of these screenshots are before I clicked to place the outline.
Ah, I just realized I was doing those imports in OpenGL. I switched to legacy in the module editor and imported. It didn't look like anything happened until I zoomed out and found the imported outline way off center.
Import into module editor with legacy canvas:
Note the coordinates of my pointer... This is in inch scale.