So to summarize the numerous issues you bring:
FYI: I'm testing your data in our development build that will be released as an update this weekend. These are the results I get.
1. "Some layer elements in the dxf just disapear and the dwg turn into 1298 elements in F360 when I want to rotate."
I'm not seeing any issues like this. How are you counting the elements?
2. "Worst, some element where not selected (using a window select) for some reason "
If you zoom out so that sketch elements are smaller than one pixel they cannot be selected. Zoom in.
3. "When I want to make corrections it revert back to the plane before the rotation which makes it say very difficult to fix"
In Preferences > Design > Turn off "Auto look at sketch" I think this may be the problem you describe. If not, please provide more details.
4. "The .3dm original shows up as an empty file."
Please zip the .3dm and attach here.
5. "Now the dxf and dwg file both open with the wrong orientation and in milimeters "
- Which orientation did you save them in, and in what units? I'm getting Z up and millimeters. The long edge is 1066.8 mm/42 inch.
- There is an improvement coming to the insert DXF workflow that will allow direct insert on any plane. I tested your DXF while using Inch units and it still comes in at 42inch/1066.8mm wide.
- I think this will be fixed for you after this weekend. 🙂
6. " I'm surprised Autodesk, an american company beside that, defaults to milimeters instead of inches and to Y up coordinate system. "
You can set preferences to inch/mm and Z up in Preferences.
7. "Is there another file format for just vectors that would keep the unit and coordinate system and of course one that F360 can read without a foss?"
AutoCAD.
8. "When I lunch the extrude command for example, whatever I selected prior to calling the command is lost, so how do I select multiple items efficiently in F360."
What you describe shouldn't be a problem if all the profiles are on one plane. Extrude can only work on one plane at a time. Can you make a video using Autodesk Screencast and post the link?
Also, have you tried the selection filter?

Thanks,
Phil Eichmiller
Software Engineer
Quality Assurance
Autodesk, Inc.