I have found a way, but it's kind of cumbersome.
-choose a layer for board cutouts (in your mind, I tend to use Mechanical 4)
-go to File->Import (hotkey F-I) and select your DXF
-define your board shape as something very large, with origin somewhere in center. If your geometry from DXF is larger than board shapem there will be an error
-select all relevant layers from DXF to be placed on your chosen layer and hit ok
-select the outline and do Design - Board Shape -> Define from selected objects (hotkey D-S-D)
-now select your cutout geometry and use Tools->Convert->Create board cutour from selected primitives (hotkey T-V-B).
unfortunately defining cutout from primitives can be done only one path at a time, which means that you have to select every hole individually and press TVB. Hopefully you don't have many cutouts in your pcb
