shp file will loose the geometry of the arc and convert the arc to a bunch of vertices connected by short lines, loosing the smooth arc. When lines or polygon features have arcs (maybe circles too?) drawn in them a geodatabase will store the arc as a mathematical geometry which keeps the curve of the arc nice and smooth where a feature saved as a.
This is because an advantage to geodatabases is that they store mathematical geometry.
Once the CAD Data is in a geodatabase you can always export the feature class to a shapefile, just know that if your CAD line work has curves in it you will lose some curve data converting it to a shape file. shp file, you have to convert to a geodatabase feature class which is essentially the same thing but better for many purposes like topology and relating feature classes to one another (When you are first learning about Geodatabases, know that the terms 'shapefile' and 'feature class' are nearly the same thing just stored in differnt ways). However, you can't convert from CAD to a. dwg to GIS is very simple using the CAD to Geodatabase Tool. Unfortunately I have no experince with the Spanish ArcGIS but I can tell you that converting from CAD.
