Perhaps not. The only valid test would be to import the file into AutoCAD, the “owner” of dxf, and see if it works there, all other tests with other programs would be just as invalid. There are a gazillion flavors of dxf out there and every program supports them differently.
My point was that the layer colors are indeed contained in the export file - because Rhino can re-read them - and that any export-import operation from any two different programs has two potential translation problem areas - the export and the import.
You might look at the color option in the export scheme in Rhino and see if it’s set to RGB or AutoCAD and test to see if changing that helps or not.
–Mitch