It greatly depends on what you mean by "compare". How would you think to be doing this in a scientific, statistical way? I think it's likely possible to use a DXF as section geometry to produce a model based on that geometry. And it is possible, given this second part, to do an 'Analysis>Compare Part>By geometry' (your part, DXF generated part, with each other). Obviously, problem solved if the results come back "parts are the same". If not, what deviation are you prepared to accept and why is the DXF-generated geometry more correct or authoritative than the Pro/e-generated model? And, if you doubt the Pro/e geometry, isn't this based on the weakness of vendor ver/val data? And what's the relevance? If this is to program a plama cutter, the allowable variation of the cutter is an order of maginitude greater than that between the digital models. So, it also depends on the application.
The answer: Yes. You may have to work at it a bit; i.e. import the dxf into a drawing then (or somehow) export IGES or STEP that you can bring into the model, set up a CSys to postion the import, position in an assy, etc. Look at Data Exchange Help or just see what's available in the data from file drop box. Check in Sketcher, too. I can't remember, would have to look myself to see what environments will swallow dxf.
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