I know this is an old topic but I was searching to try and find out why my geolocation map doesn't work. I will say that not having the ability to geolocate maps with this product is about the only "con" I have found so far. It is extremely useful and once you get used to using it is very hard to do without (but I digress).
SO, I wanted to share what I do for shape files. There is a product out there called QGIS which is a completely open source, free GIS software. I have used ArcGIS and it is very powerful by its own right to something like ArcGIS. You will have the ability to download shape files and other files from sources such as USGS, NOAA, Soils Mapper, Wetlands Mapper and other city and county gis data that hopefully is available to you freely (some charge).
You very simply import the shape file into your project at the proper geolocation assigned to the project. Once you do that you have the option to export it out as a dxf file with then can be opened with your cad product.
It works to help you convert. You can even window smaller areas to export out instead of the entire layer.
The one thing that I cannot seem to get QGIS to perform is exporting the item with assigned elevations attached to it. I still have access to Map therefore if I want to create autocad points which are spot elevations or contours with elevations I have to do that through Map. But as far as the rest it is very simple to use. You can also create Google Map and Road layers to have as your background if you prefer.
Hope this helps.
Martin