Typically, DXF data does not include projection information. They have X and Y coordinates that can reference any possible coordinate system. The DXF import procedure imports the DXF file using its encoded coordinates and optionally allows you to set a transformation between the DXF coordinates and the real world coordinates, if you know them. Also, you can use the Projection button in the DXF Import Information dialog box to reset the projection, if you know that information. By default DXF files are projected in the 'Non-Earth' projection.
This dialog box displays a pair of points, AutoCAD coordinates on the right and MapInfo Pro coordinates on the left. The basic idea behind setting a transformation is that, given the two DXF points, you must pick the two corresponding MapInfo Pro longitude-latitude points. When you use the extents of the DXF drawing (the default), you must enter the extents of the drawing in longitude-latitude coordinates for the MapInfo Pro points.
When your DXF file contains a header section, the two DXF points are the lower-left and upper-right corners of the drawing (the extents). The default MapInfo Pro points are the same as the DXF points. This default transformation translates the map coordinates into X-Y directly. For example, a point at 72.5 degrees west, 42.7 degrees north is translated into (72.5, 42.7).
You do not have to use the extents if you do not want to. All you need are any two points of the drawing (preferably far apart for greater accuracy) in both coordinate systems: your DXF coordinate system, and longitude-latitude.