Dan,
You can't select a part of the profile to machine. You can however provide a drawing of the section and do it that way.
Yes the high end CAM programs do what you are asking.
I didn't didn't try a Z offset, as you have, but it will do a rough cut as shown in the attached pic.
What program did you create the DXF with?
I had problems with it in 3 versions of Autocad, opened in Microstation but was labeled as a 3D drawing, had to convert........etc.
Was it saved as version 12 dxf?
RICH