Given the importing of DXF, you might want to check the objects to make sure they are not part of an ACAD block (symbol in Excalibur). From the Tools pulldown menu, select Entitiy Properties...use this to select an entity to see its properties.
If you have symbols, from the symbols pulldown menu, select Unpack to effectively explode th symbols into lines and arcs. Do not assume that once you have unpacked the symbol that it is entirely unpacked...sometimes there are nested sysbols so unpack again.
Once you have lines and arcs and stuff, then you can run the Mill functions.