One thing that other people don't seem to have touched on is the utility of the simulation packaged in AutoCAD. It's a type of Finite Element Analysis, which is an incredibly useful tool, but one that must be wielded very carefully. You can model a part, load it into an FEA package, apply constraints and forces as the part would see in the real world, and yet there is no guarantee that the results you get from that simulation have any correlation to real world outcomes.
Understanding how to set up and run the simulation takes training of its own, and even with a well-designed simulation, understanding the results takes independent engineering knowledge. The software I primarily work in is Creo, and Creo's FEA package has a warning message that actually tells you that it thinks something is up with the results of the simulation, but it doesn't know exactly what, and that you need to use your engineering knowledge to analyze the results for accuracy.
That being said, don't let any of this (or anything anyone else has said) stop you from playing around in AutoCAD. It doesn't matter how good of a concept an engineer can come up with, if they can't put it on paper or communicate it to someone else, it's worthless. However, if you want to learn by doing, realize that the end product of mechanical engineering is a machine. What you need to be doing is working with machines. Take apart existing things, find things that you can build yourself, and examine all of this stuff to try and understand how things were made and why they were designed they way they were.