Hi Kevin!
Remember that CAD files relate to a flat paper space, and not to the curved surface of the earth.
So by definition, they cannot have any projection.
However, the objects in the cad drawing can be analogous to a flat paper map which of course is drawn in some kind of projection and coordinate system.
Ask the provider of the CAD file which coordinate system they are using and enter that when you convert the file.
If they don't know, the only way is trial and error.
Another way is to treat the CAD file as a flat, non-earth dataset and accept the paper coordinates as they are.
But then you will not be able to view it together with a geographical data set, of course.
Regards, Mats.E