The software with which you control the machine determines the cutting sequence. For laser cutters with RD designated controllers, RDWorks is shipped/packaged with the device. A third party software developer has created Lightburn Software for the same controller (and many others) and often addresses similar problems related to cutting sequences. Lightburn is substantially easier when it comes to specifying cutting actions.
It is not uncommon that DXF files are composed of individual segments rather than one continuous line. If you can convert the DXF into a different, accepted format for your laser, and join the segments, you may have better luck.
You may get more assistance if you can provide the name of the software used to send your work to the laser. If you know of a forum specific to your controller (let us know your controller type) you may also find an answer there.