You can only set the segment number of native SU circles, arcs and polygons - and even this only until you affect (modify, add walls etc) to the entity.
The problem with CAD exports is that the circles/arcs do not come through as circle/arc entities (not even as a continuous polyline) so you cannot modify them later. The only solution is what Dylan says; draw a circle with your custom segment number) and resize it to fit to your needs. Now you have the circle entity and can delete the original ellipse (yes, this method is very cumbersome).