There are several reasons.. Basically, to protect the originals from accidentally being modified, they may be setting up the files to be Read-only.
It may also be that the file isn't 100% compatible, and AutoCAD is preventing you from accidentally distorting the original by saving over it, but you'd usually get a warning message.
Anything you get off a CD has the file properties set to Read-only (because you can't alter the CD/DVD, so the burner does that by default). Perhaps the source you got it from, had it on a CD before putting it somewhere you could get it?
Compressed files aren't always properly accessed by earlier versions of AutoCAD.. it knows it can't resave in that format, so it blocks it off with Read-only. You can even run DXF's within a Zip file, but they tend to be read-only.
Regardless, just use "save-as" if you modify anything. Save-as is a good practice if you buy a DXF, or get one from a client, etc, because you might modify it, and then change your mind regarding the modifications, so you'd still have the original.
