You can only insert vertices on the existing slope segments. You have to click on a point that is already on the slope, not in the "air" or "underground". If you want to insert a vertex that ins't in-line with two existing vertices, you must insert a slope vertex and then move the vertex you inserted.
Once you have begun drawing a slope you cannot add more points from a DXF file. Select Delete Entire Slope and then import the DXF file. If you want to combine points from a DXF file with points you enter in the program, you must read the DXF file in first, and then add the points in the program.