Second, problems with scaling, changing geometry in sketch mode may be due to the way the dxf was saved. Sketcher does, however, place a scaling box in the window with the sketch so that you can adjust scale, plus the sketch comes with drag, rotate, and rescale handles that can be used to move and fit the sketch.
Third, you can 'import' geometry into a part with 'Insert>Shared data'. There are many types of data that are reusable in Pro/e. The 'From file' option is probably the closest thing that's left of an import function. With dxf, though, it doesn't give you any control such as you've asked for, over scale and it imports drawing data as simple 2d entities, without dimensions.
Fourth, if you are using the dxf for a base feature, you can simply open it from the 'File>Open' menu. By default, this menu funtion highlights .prt files, but many others are available. The box labelled 'File type' has an arrow to the right which opens a drop down list of all the files Pro/e can open. Scroll down until you find dxf in the list and open from here. See if that is more like the functionality you were looking for. There are several ways you can open a dxf, depending on how it was created. Not all those offered may be appropriate, so you may have to experiment. This is, however, a little more flexible than the sketcher functionality. BTW, I'm using Wildfire, starting to forget 2001 already, so hopefully this is on the mark.