since you have pro, you also have arcmap I presume, the current workaround is to do the georeferencing there and port the result, which is no big deal. Consider Pro a work in pro-gress
PS for cad files, you are using a relative coordinate system I bet (ie 0,0 coordinate origin), you will have to adjust your coordinates using Spatial Adjustment tools to move the origin... projection will do nothing, nor will defining the coordinate system. the data has to be given a new origin, and hopefully the adjustment can be done from or during that process.
