When you open the dxf file in Illustrator2020, the object opens ungrouped.

[DaeWoong5FB1]

When you open the dxf file in Illustrator2020, the object opens ungrouped.

There was no problem when I opened it at cs6.

How do I set up the Object to open it in a group?

[ceyhun_akgun]

When opening the DXF file, a window should pop up. There may be control options here. You can examine the opening options.
If it's not private, we can try it if you share the dxf file.

[DaeWoong5FB1]

There is no option you mentioned in the pop-up window.
I'm sorry I can't deliver the files for security reasons.