I have KiCad 4.0.7, 32bit version on Windows. The DXF file also does not import at all - after selecting the import file, nothing happens, in both canvasses.
Reading this discussion, I figured out that the problem is in international characters in path. The language of my system is Czech.
The path of the mentioned file was: C:\Dokumenty\Projekty\Ramování_GPA_AP30\deska_robot.dxf
Notice the "á" and "í" in the path.
When I copy that file to different directory, that does not contains only US-ASCII characters, then it works fine.