Yes, you can add the other shapes: slots, cutouts, PCB border. See my tutorial below showing how to perform these tasks plus add rout paths for more complex shapes:
Note #1: Make sure you select the right tool diameter to use for your Slots & mill paths.
Note #2: I would recommend that you export your data as "Mill/Rout" instead of Drill Data because now your data may contain more than just holes. Go to menu: File | Export | Mill/Rout... the rest is identical to Drill export.