I ran into this issue yesterday and as far as I can work out its alibre, not GM. Basically alibre won't import 3d dxf files (you'll just get a blank drawing), while with 2d dxf's it'll open them as drawings but not as sketches that you can extrude from the off. See here for how to extrude a dxf drawing into a solid model http://cadcam3d.blogspot.com/2009/05/how-to-make-3d-alibre-designs-from.html
I haven't tried the above method yet, but it looks like it should work. Obviously however this is bugger all use for bevel gears.
A hint that Alibre isn't likely to make this any easier soon is that sycode sell a proper dxf import addon ($4.99 for a 7 day license, $150 to buy it) for alibre http://www.sycode.com/products/dxf_import_ad/
Hope this helps.