it simply looks like their own outline drawing.
That's exactly what it is. A DXF isn't any kind of PCB footprint file, it's a general purpose 2D* vector file format, generally used for technical drawings.
In KiCad you can load such a drawing as a "background image", in the footprint editor, and use it as a guide to draw the footprint yourself
You can absolutely do that in Altium, except it imports the dxf objects (lines, arcs, etc) into the footprint or PCB as primitives. You can select which layers of the dxf end up on which layers of the PCB. If you wanted to just use the drawing as a reference, you can import the desired geometry onto a spare mechanical layer. If you wanted to directly use the top view on the silkscreen or on the component outline layers, you can do that too -- either map the layers that way when you import, or move the desired objects to the correct layer after import. You'll need to create the pads and holes yourself, though.
I'm not sure I'd bother importing anything from this DXF, though, except maybe the top view onto the component outline layer, and I would extract that from the dxf rather than try to import the whole file as is -- I like AutoCAD LT for this sort of thing, but a lot of vector graphics applications can handle dxfs, IIRC including inkscape which is free. There are dimensions for all of the pins in the DXF, which I bet is also available as a PDF, so you can use those to create and place the pads/holes appropriately. Fortunately the pads are in a pretty simple rectangular pattern, so a couple of custom X/Y grids would make it fairly easy to place everything without having to do too much math from the provided dimensions. If they have a step file, you can then place that to verify against the footprint (or import the DXF for reference, or just print the footprint and drawing 1:1 and hold them up to a window...).
* ok, it CAN be used for 3D, but generally isn't except by people who hate themselves enough to do 3D modeling in AutoCAD