Felix,
More than likely Microstation and/or AutoCAD are not pulling in the projection/datum of the DXF and/or JPG file properly. Global Mapper is smart enough to automatically reproject data to fit each other, but you may have to ensure that your data is in a consistent projection/datum for it to show up properly aligned in other software. Based on the small size of your offset, I would guess that either the datum is the issue or this is a 'US Survey Feet' vs. 'International Feet' issue.
Let me know if I can be of further assistance.
Thanks,
Mike
Global Mapper Support
support@globalmapper.com