Well a KDE is NOT a hotspot (although many think so and use it as)....It only shows you a relative density and has NO statistic footing....If you want a hotspot/coldspot output that is statistically worthy and reliable you need to use the centrographic tools in Spatial Statistical and especially the Getis-Ord Gi*
Your English is fine.
What information do you lose? What does the original DWg or DXF file contain which you end up missing in SHP? I imagine it has to do with the DBF file which accompanies the SHP file?