You moved some DWG data to SDF format and from there to SHP format, so you can distribute it to people who use geospatial data.
You can move the data back into DWG format as needed. For example, if other people change the data, you can reimport it so you have the latest version. When you import SHP or SDF files, data is added to your map as drawing objects, not as geospatial data.