There is a bug in SolidWorks which has been there for quite a few releases. Let's say you have three dxf files, the first is the shape of the part (to become the base flange), the second and third are bend line files.
If you open the first dxf and create a base flange all is fine. If you then click on the face and do an "Insert" - "DXF/DWG" command and select the second dxf (the first of the bend line files) it will bring it in fine and show it on the selected face. If you then select "sketched bend" and follow through everything works as it should. Here's where the problem comes in. If after you have completed the "sketched bend" you once again click on the face of the part and do another "insert" - "DXF/DWG" command it will not bring it in and will give you an error to the effect of "none of the selected entities could be deleted"... If you repeat the process it will bring it in fine and allow you to perform a "sketched bend". This process will repeat over and over; it will fail then succeed then fail then succeed. It has been like this for years. There are a couple ways around it but it still should be fixed.
Solution 1) Insert all the dxf bend files at once without doing any "sketched bends" then edit each one of them in succession doing the "sketched bend". This is inconvenient but works.
Solution 2) After a successful "sketched bend", and BEFORE you attempt to bring another dxf bend file in, edit any sketch in the model and then close it. Then you will be able to bring a new dxf bend line file in. This is even more inconvenient.