I must convert circles to polylines before applying a linetype on it, right??
No. Non-continuous linetypes work on Circles. If they're not doing so for you, make sure your Linetype Scale, both at the drawing level and if there's an override on the Circle itself, is appropriate to the size of the Circle and the linetype definition cycle.
[The things for which you would need to convert a Circle to a Polyline are A) if you want to give it width, such as a Donut has; or B) if you have some reason to need to reverse its drawn direction, since Circles are always drawn counterclockwise. The latter might matter if your linetype has arrowheads or something else directional, but shouldn't matter for the DASHED linetype, if that's specifically what you meant in the Subject line, and not just any non-continuous one(s).]
.... if you have some reason to need to reverse its drawn direction, since Circles are always drawn counterclockwise. The latter might matter if your linetype has arrowheads or something else directional,
Technically, it's possible to "reverse" a directional linetype on a circle by constructing the circle in a "mirrored" UCS. I am not advising this, but if you had to reverse the display order of a linetype like this AND you had to keep the entity a circle AND you did not have the skills needed to make a complementary linetype - then it is possible.
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