I just found out here that there is PDF export with layers in Rhino 7. So a possible workaround would be to export to pdf and then open the file in Design Review 2013 and save it to dwfx. The problem is that Design Review complains about “items that may not display properly” when importing the pdf with layers, and no layers come up.
EDIT: I have tried with pdf files with layers coming from AutoCAD and also with Design Review 2018 and the same issue shows up. I guess that Design Review is not capable of importing layers from PDF files.