It is awfully late for this, 2 years later but hey, maybe some other pal will have this issue.
So, the behaviour you described occurs when you insert a dxf/dwg on a plane, in an existing part. In this case, the option is greyed out.
However, if you open the dxf or the dwg (file/open*.dxf), select "Import to a new part as": select "2D sketch" and click next, you will find the option available.
Well, thank you very much Florimond, I hadn't noticed that at all. I might even be able to make use of that fact going forward.