Most likely the shape in the DXF isn't closed or there's an overlap.
I've tryed many others dxf and the result is the same. Can someone open the attached file and show me how to solve the problem?
The reason that you can't change it to a board outline is because once you import the dxf it becomes a drawing cell and a drawing cell can be deleted which would in turn delete your board outline if you were able to map it to that. Once you import the dxf make a copy of the shape that you want as your outline and assign that copy to be the board outline, then you can delete the drawing cell and your board outline will remain.