I hope you figured out by now that Cubase/Nuendo supports DNxHD but the MXF container is not supported
The DNxHD support works nice and smooth with the new video engine but you must know that the DNx video has to wraped inside .Mov container (not MXF !) otherwise it will only import the audio to your Nuendo/Cubase.
I believe in time MXF as video wrapper/container will be added to the supported formats but at the moment it is not there, please consult the current supported matrix here:
Plus very important to know that Avid DNxHD/HR supports only standard video dimensions, frame rate with specific video bitrate accordingly.
Here are the links for the relevant Avid Knowledge Base documentation:
http://avid.force.com/pkb/articles/en_US/White_Paper/HD-and-SD-Media-Bandwidth-Specifications
http://avid.force.com/pkb/articles/en_US/White_Paper/DNxHR-Codec-Bandwidth-Specifications
If you need to convert your videos into good working DNxHD format wraped inside .Mov container you can download the ER Media ToolKit.
It uses FFmpeg but does all the dirty work underneath so it makes your life ten times easier.
If you have any questions about DNxHD/HR, ProRes, H264 and other supported formats I’ll be happy to help.