According to a post like this, a DWG/DXF can be "georeferenced", but not all are. I guess the same is true for other CAD formats too. But exactly what does that mean that a CAD file is georeferenced?
In surveying, we called "the world file" the georeferenced portion of a file. It tells the GIS or mapping software where the file is located and at what scale to display it at.
If a CAD drawing/file is georeferenced, it means this location and scale data is embedded in it and can be used to place its contents on the map appropriately.
DXF file: older/simpler/smaller files, created by Autodesk, open source, cannot contain this georeferenced data (so manual placement is needed)
DWG file: bigger files, also created by Autodesk, proprietary, primarily made for AutoCAD, can contain georeferenced information