How to transfer the symbol from CAD to ArcGIS, Is ArcGIS Support all AutoCAD entities?

yes, you can transfer the symbols from CAD to ArcGIS, just you have to save/export that symbol from CAD as Windows bitmap (.bmp) or Windows enhanced metafile (.emf), once you saved it go to ArcGIS style manager create your style file, under same style file select marker symbols, goto symbol property editor and select type as picture marker symbol and choose the same picture what you have saved/exported from CAD. that's it.

Arcgis supports mainly polygons, lines and points and so it will support such attributes from CAD. I don't think it will support symbols from CAD.

Open in Autocad ,Select the data  and In Auto cad use Map- Tools- Export or In command mode write mapexport choose output as .shp extension. 

Yes Arc GIS support all auto cad entities

1. just saved your CAD
2. open (add) shepfile form Arc GIS
3. click the CAD file
4. select (line or point or polygon )