I can not find an answer for this anywhere but it seems that AutoCAD can only load mark-ups done in Design Review if these are saved as DWF files.
I tried saving it to DWFx and AutoCAD does not load mark-ups.
I tried loading mark-ups done to a PDF file in Design Review into AutoCAD and it also does not load.
Is this a limitation of the software (Design Review and Autocad) or am I doing something wrong?
Thanks folks.