It is correct that you can only import DXF onto a PCB, not directly onto a schematic. However it is possible using the copy/paste functionality.
You may need to play around with line widths, scaling and layers when importing the DXF. Once imported select the items of interest, click Copy, switch to the schematic sheet and click Paste. Don't forget to make sure you have the DXF import package installed otherwise nothing will appear to happen when importing.
