Hi, I have a similar problem when selecting the CAD files (or DXF's) when importing them into the CAM module also.
However, if I click the "CAD not installed or has never been run" error message away twice, I am able to simply click "open" and the file imports correctly.
There is also no thumbnail preview.
Are you referring to the Dolphin CAD files being imported and not a raw DXF?
You should not have any problem importing DXF's into the CAD module (I dont, anyway).
The error message, although probably a common bug, shouldnt prevent you from actually opening the files in the CAM module.
This error happens on two of my PC's, one of which is the licenced version, the other the demo.
I've learned to ignore it.