DWG is not supported in CE.
To prevent precision issues, CityEngine only allows datasets which are in a certain position, e.g. a city. If you have a city dataset in a specific projection in the scene and then e.g. want to add some data which is centered around the CARTESIAN origin, that new data is very far away from the dataset.
That is prevented by that error message. So you need to check that your dxf data is also geolocated, with approximately the same coordinate values as the rest of the scene.
Does this help ?