Digging through AutoCAD 2007's entities (objects), I've come across some oddities:
Ellipses and elliptical arcs cannot be given a thickness. Circles can, but not ellipses. Strange.
Multiline styles (MlStyle command) have never worked as expected. In AutoCAD, normal behavior is for the style to control the object, such as changing a text style changes the look of the associated text. But not mlines.
Reading the DXF spec shows why: the style is hard-coded into the multiline definition. It seems that the only purpose of the MlStyle command is to help start drawing mlines without having to specify all parameters anew each time.
To change the style of an mline, you need to erase it, and start over. Even the Properties palette has no control over mline style options, even though the data is available to AutoCAD. Nasty.
I tried out Autodesk's MicroStation V8 DGN file importer, and found this change: it appears to me that Autodesk first planned to have DGN files attached, like DWF files (due to the presence of the DgnAttach and related commands hardcoded into AutoCAD 2007). But the released software add-on actually imports and translates the DGN design files.
The difference? Attaching DGNs would make them visually more accurate, but importing DGNs makes the entities editable. Naturally, AutoCAD has a hard time with some MicroStation concepts, like constraints -- which are translated into lines.