Selecting PCB Shape from DFX file with VIAs included
The above answer does not account for the holes, which was your question.  I've shown below the correct answer on how to do this, creating a quick example PCB to illustrate.



Select all shapes from your DFX file.  Design -> Board Shape -> Define from Selected Objects.  As you note, even selecting "cutouts" here doesn't do what you'd like.  I think it's a bug.



And the resulting board shape.



Now select the holes.  For some reason I had to do this step for each one, it wouldn't let me batch select.  Tools -> Convert -> Create Board Cutout from Selected Primitives.

The resulting PCB including holes:



If this answer solved your problem, please consider selecting it as the correct one.  Thanks, and hope this helps.