Are you opening them as Library Parts?
It is possible to open 3D DXF files as Library Parts ("File > Libraries and Objects > Open Object"), then select "Browse from file" in the "Open Library Part from" field, and select "DXF" from the "File of Type" field, then open the DXF file. This is the only way 3D data in it is imported into Archicad. If you open the DXF with the Open command, only 2D is imported.
In the case of DGN, only 2D information will come in, always.
Loving Archicad since 1995 - Find Archicad Tips at x.com/laszlonagy
AMD Ryzen9 5900X CPU, 64 GB RAM 3600 MHz, Nvidia GTX 1060 6GB, 500 GB NVMe SSD
2x28" (2560x1440), Windows 10 PRO ENG, Ac20-Ac27